Lucifer's wings were part of the fallen archangel known as Lucifer Morningstar.
History
Lucifer retained his wings even after his fall. However, when he and Mazikeen abandoned Hell, they arrived at a beach, where Lucifer expressed his hatred towards God by having Maze cut off his wings.
Lucifer put the wings in a secret compartment in his container. The container was stolen by Renny under unknown circumstances. Lucifer retrieved the container, but, unfortunately, he did not find the wings where they were supposed to be.
Lucifer discovered the wings Carmen Grant put out for auction are fake, and that he kept the real ones. He rushed to his house and took them. He burnt them in front of Amenadiel, as the angel was the one that tipped Grant off to steal the wings, in an attempt to encourage him to go back to Hell.
However, Maze kept a small feather belonging to his wings, that Lucifer seems to be unaware of.