Well, why not? There are many big things without wings, my dear bilbo baggins. Morgoth for one, and all the other Valar, there there are trolls and ents, you know.
Besides that, if Balrogs had wings, they wouldn't go tumbling off mountain peaks like the one that Glorfindal fought in the Sil. It just doesn't make sense for them to have wings. I haven't heard of people making up creatures with wings in fantasy that can't fly. Wings, to writers, are there to be used. Balrogs weren't said to have flown, even when it could've saved their lives.
-- Folwren
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A young man who wishes to remain a sound atheist cannot be too careful of his reading. - C.S. Lewis
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