If you think of a Valar or Maia as a spirit rather then a physical being they cannot be killed. You can however kill that physical body (Gandalf for instance). In the case of Sauron he was weakened over time to the extent he could not shift shapes (after the fall of Numenor). He then eventually lost the ring after Isilidur cut his finger off and it is debatable whether he was visible or not (I personally believe he was a physical being when the white council had attacked Dol Guldor. When the ring was destroyed he was still a spirit but he was so weak (put a lot of power into the ring) that he could no longer have any influence on the world (no physical being or presence).
In the case of a Balrog (maia) many were slain but it was never said that they were coming back or still alive.
A Maia possesses a physical body and their strength is limited to that of a physical being. Obviously being one as powerful as a Maia has its perks (for instance gandalf was able to fight off Nazguls for an extended period of time where a normal man would have tired).
Morgoth was also injured multiple times I believe and weakened. I don't believe Tolkien explored the idea of mortal vs Valar/Maia much so any idea of who can kill who is all speculation.
My personal belief is that they wouldn't be able to kill a Valar's physical being although they may cripple it. I believe they can kill a Maia but not in a permanent way.
I guess if Eru was against them anyone can be killed.
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