I know why; they're cool, and they have a deep yearning to be free and with the air, which'll be a major theme in the story. But... I don't know how to explain their wings. I don't want them to be a supernatural race, so I think they'll have to be a past genetic experiment, as in decades ago so an unstable population has started to grow.
They have large bird-like wings like in this http://pre05.deviantart.net/a8fd/th/pre/f/2012/199/b/e/bef027abce839b197a664cc6c30e0554-d57r2br.jpg and http://orig07.deviantart.net/2f3a/f/2013/092/b/0/b0bbaff0c7c9d3f212fc371c25191367-d607soj.jpg (I don't own the art).
I'm also not sure if they would be discriminated against in society, or if they'd be dependent on some kind of drugs to suppress any genetic faults. I do know that they have a short lifespan (usually less than 40 years).
It's set in a cold northern city on an alternative earth that borders the Arctic ocean. It's a gritty, tough place with people to match.