Hear me out! Look at what we know:
1. The Myrmidons were given immortality by Balor. We don't know if they all collapsed when he died or if the gift was permanent, I'm assuming it was in this.
2. Most of the Myrmidons were probably killed in TFL but what about ones that survived? If some fetch survived, surely the far more numerous Myrmidons would have too.
3. The Myrmidons in TFL have rotting bodies held together be bandages - they are falling apart, they are so old.
4. Maybe after such a long time, they completed disintegrated, leaving only a shadowy creature seeking only vengence against the living.
I know this is sorta out there, and I'm not saying I believe it - just throwing another theory into the pot.
-Ares