For example gandalf regularly take the form form of an elderly man with aches and pains. So it stands to reason he is capable of erm... Other activities. He also enjoys the pleasures of this world drinking and smoking so may well enjoy other activities. therefore should have found someone to share affection with could they have pro created?
again with the balrogs there was more than one so could they have procreated although with them telling gender may have been difficult.
The main evidence to me that suggests they can are the eagles who were originally maiar who served Manwe and then their decendants continued on.