What if some Balrogs had wings, and others didn't?
This is a passage about Melkor and he corrupting the Balrogs to be his servants:
Quote:
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For of the Maiar many were drawn to his [Melkor's] splendour in the days of his greatness, and remained in that allegiance down into his darkness; and others he corrupted afterwards to his service with lies and treacherous gifts. Dreadful among these spirits were the Valaraukar, the scourges of fire that in Middle-earth were called the Balrogs, demons of terror. Among those of his servants that have names the greatest was that spirit whom the Eldar called Sauron, or Gorthaur the Cruel.
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The Silmarillion, Valaquenta - Of the Enemies.
Just bear with me... Lets say some of those "treacherous gifts" given by Melkor were wings... That meant some had wings, and some didn't.
All speculation of course, but hey, what if!