Pokedex Entry for Scyther in Fire Red:
"It tears and shreds prey with its wickedly sharp scythes. It very rarely spreads its wings to fly."
So I guess it can fly, but just doesn't give enough fucks to want to.

So you're running through Celadon City after you beat Lt. Surge in Vermilion, and suddenly you notice you found a little house on a nearby route. You go in and talk to the girl inside, and she gives you a disk with Fly on it. "Fuckin' sweet!" you think. "This would be great on Scyther!" You try it. bzzzt! Fail. He has fuckin' wings, why can't he learn it? In your despair you look up, and who do you see riding on a Spearow? That's right.
Gary.
Motherfucking.
OAK.