Lucifer, Stay. Good Devil. - S1-E2
Continuity mistake: Chloe is being debriefed by her ex about the crime scene. There's a close-up of the photographer who will be the key of the case, being physically pushed away by a policeman. The scene goes on with him in the background in many shots, all on his own, snapping away as if nothing happened. (00:08:55)
Answer: It's Lucifer's blood from when his wings got hit by the bullets. As Lucifer spreads his wings, they're white, and before he wraps them around Chloe, you see a bullet hit his wing above his right shoulder, and the spot turns red. After that, he continues to get shot in the wings before fleeing.
Bishop73
Agreed. His wings take damage and "bleed" similar to how he bleeds when Decker is around.
Ssiscool ★
If they were normal bird's wings, the lower part where there are just feathers should neither bleed like that nor be able to stop bullets, but they are angel's wings, so they behave differently.