Balrogs were in fact fallen
Maiar:
"For many Maiar were drawn to his 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."
--The Silmarillion
My interpretation of others in the paragraph above is "other Maiar".
Whether or not they had wings is still a hotly debated topic. It would certainly be cool if they did have them, but what is in doubt here is Tolkien's original intent.