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Far beneath the ruined halls of Angband, in vaults to which the Valar in the haste of their assault had not descended, Balrogs lurked still, awaiting ever the return of their Lord; and now swiftly they arose, and passing over Hithlum they came to Lammoth as a tempest of fire.
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Sil. p. 81.
"It stepped forward slowly on to the bridge, and suddenly drew itself up to a great height, and its wings were spread from wall to wall..." Fellowship of the Ring, p. 345.
Undoubtedly, Balrogs are not great fliers, having massive wings, and are unable to fly in close quarters, such as the chasm or near the cliff wall in Gondolin.