Balrogs are Morgoths greatest and most brilliant corruption
Call it a theory/headcanon, but among all the evil Morgoth weaved into the world, I think Balrogs are his best work to the point that even Eru Illuvatar is having none of it.
I know there is debate on whether or not a definitive number of Balrogs exists, but I like to believe there are seven in total. Whenever someone mamaged to kill a Balrog it usually also meant their own death shortly after. I'm thinking Ecthelion, Glorfindel, Gandalf. It's curious that Eru Illuvatar intervened in two of these cases to bring the dead heros back to life.
I like to think that Morgoth actually managed to corrupt Balrogs so far beyond what should be possible and that there very being is cursed, dooming those that slay them. Eru himself is doing some of his rare interventions in the world to right this wrong.