Most existing robots are designed to exploit only one single locomotion mode, such as rolling, walking, flying, swimming, or jumping, which limits their flexibility and adaptability to different environments where specific and different locomotion capabilities could be more effective. Here we introduce the concept and the design of a flying robot with Adaptive Morphology for Multi-Modal Locomotion. We present a prototype that can use its wings to walk on the ground and fly forward. The wings are used as whegs to move on rough terrains. This solution allows to minimize the structural mass of the robot by reusing the same structure (here the wings) for different modes of locomotion. Furthermore, the morphology of the robot is analysed and optimized for ground speed.