1. Matted Fur - Every cat lover knows that when the weather begins to get warmer that cats shed. Matted fur can cause what appears to be wings on a cat. Thoreau, when speaking about what he witnessed, did say that the wings fell off in spring and there was only fur, no membrane.
2. Conjoining or extra limbs - Extra limbs, caused by an egg not separating correctly during gestation, may appear as protrusions with fur and may resemble wings. These wings may move, but more typically than not, they are non-functioning.
3.Feline Cutaneous Asthenia (FCA) - This skin condition is related to the human condition Ehlers-Danlos Syndrome or elastic skin. Cats with FCA will have protrusions on the shoulders or back and they can actually move the "wings" due to neuromuscular tissue within the wings.
The next question you may be asking is, "Can cats with FCA actually fly?". The answer is no.
For more information visit Wikipedia's Winged Cats