Lord of the memes

That is true, it is pretty directly stated that they were weakened, but need I remind you how our favorite frail old wizard beat a Balrog to death so loudly that it could be seen and heard from miles away? I firmly believe that, with power equalling a Balrog and with their wisdom as ageless beings, the five of them working together couldn't figure some way to deal with it. Maybe they would mug Sauron in a back alley or something. Besides, the actual Dark Lord of this age (the Witch King) would have been relatively fair game as far as his prophecy was concerned, since they are not of the race of Men.

Of course, if they tried to do this and died, Mandos would almost certainly put them in time out instead of sending them back. That's my pet theory about what happened to the Blue Wizards; I think they broke from their path for what they thought was good reason, got sent back to Valinor, and then Mandos put them in the time-out chair to think about what they've done.