Actually, one of the rovers is apparently sitting in one.
A winged lander was considered for Mars missions long ago (see all the famous Willy Ley and other concepts), but it would require HUGE wings, a heartstopping landing velocity, and someplace to land that doesn't have rocks on it. Good luck finding that.
Years from now, maybe someone will build a runway. But don't hold your breath.
I don't know what the weight tradeoff would be for large landers between chutes/landing propellant and wings. I suspect the former combination would win.