Demons in the Warcraft Cosmos existed long before the Burning Legion. The story goes that in the beginning, there was only Light. And then the Light began to coalesce in particular areas, leaving gaps within it. This was the Void. The disparity between Light and Void allowed the physical universe, referred to as "Reality" or "The Great Dark Beyond" (the latter used more to refer to Outer Space as opposed to the surface of life-bearing planets,) to exist.
Reality seems to be composed of Light and Void - in other words, existence and non-existence. Without anything in the Void, it has no meaning, but also, without borders between things within existence, Light has no meaning either.
Where the two meet and strike each other, annihilating into pure energy, that energy is called Fel - the magic of chaos. While Reality exists, in a sense, between Light and Void, so does the Twisting Nether - the realm of Fel magic.
We don't know specifically how Arcane magic works, but if I had to guess, it is equal and opposite to Fel - rather than a chaotic collision of Light and Void, it occurs when the two are in harmony, ordered into a productive form.
There are two other primal forces with affiliated magic, namely Life and Death, but I'm not going to get into those in this post.
Demons are beings of Fel magic, whose souls are bound to the Twisting Nether. If there is anything that seems to tie them together, it is their connection to Fel magic, even while they vary greatly in physiology.
And yet, this does not seem to be 100% consistent. Illidan Stormrage, a problematic anti-hero to be sure (though his portrayal has been far more sympathetic in Legion,) used Arcane tattoos to contain the Fel magic he was given by Sargeras, a practice that his Illidari Demon Hunters have incorporated into their technique. While he cooperated with the Legion in certain ways to survive, his goal has always been their destruction.
In the Black Temple in Outland, Illidan discovered a strange artifact - the Reliquary of Souls. Where this thing came from is unknown - it doesn't seem likely that it was an original feature of the Temple of Karabor (we didn't see it in Warlords of Draenor, but then, we didn't get to go inside then) but as we learn in the Warlock Green Fire chain during Mists of Pandaria, it served as a font of Arcane magic. Illidan was able to convince many demons to serve him in exchange for the arcane magic that it provided. It even changed their physiology, turning them more purple and blue than Fel green or red. They remained Demons, but they seemed to have become beings of Arcane magic rather than Fel.
And that's pretty odd. Also it's something that never came up during Legion.
Demons existed before the Legion, but not all of the demonic races were demons yet at that point. Most famously, the Eredar were an ordinary, if technologically and magically advanced, mortal race. Sargeras recruited them, turning the two thirds of the populace who agreed into the Man'ari while the remaining faction fled as the Draenei (splitting, in their haste, into two smaller factions, one following the Prime Naaru X'era and the other following the former Triumvir, now Prophet Velen.) We can presume that many demonic races were also former mortals, with a known example being the Satyrs, formerly Night Elves.
But some, like the Nathrezim, were demons before Sargeras formed the Burning Legion.
These seem like an interesting group to examine. It's possible that, like the Eredar, the Nathrezim were originally mortals, and that rather than accepting an offer from a Titan, they instead discovered the Fel on their own.
But their selection of magics is really interesting: Sargeras molded the Legion primarily to fight the Void, and thus oriented Fel magic to combat the Void. Ironically, the Light and the general population of the universe was sort of an obstacle in the way of his primary goal - defeating the Void.
And Sargeras discovered the Void thanks to the Nathrezim, who had dedicated themselves to Void, not solely Fel, magic, and served the Old Gods on a different infested world.
Lothraxion, when he was a part of the Legion, was tasked specifically with hunting creatures of the Void, which suggests that even though he was Nathrezim, he could turn against his earlier magical orientation. Of course, he would undergo a different transformation, becoming Lightforged and turning to serve the Army of the Light.
While the Light and demons are generally seen as opposed, it also seems to follow that if demons (and specifically Nathrezim) could align themselves with the Void, it isn't so crazy that they should be able to align with the Light, if Fel is the chaotic mixture of the two. And interesting question to ask regarding Lothraxion is whether he is technically still a demon. Can you have a benevolent, Lightforged creature that is still, technically, a demon, perhaps even retaining his connection to the Twisting Nether?
The game hasn't fully explained the purpose of Antorus - we know that it is a sort of engine that channels the power of the Titan Argus in order to bring demons back to life. Given that demons killed outside the Nether do this anyway, that doesn't seem necessary. I hope it's not just an oversight on lore (something Blizzard has been known to do in the past, even forgetting that the Eredar were originally portrayed as the demons who drove Sargeras to evil, a position that was given to the Nathrezim after the error was noticed.) There are some explanations that could work (I'd just like to see them mentioned in-game,) like the possibility that Antorus speeds up the resurrection process from something that could take years or longer into something that only lasts days. The other possibility, and one that I really think would be cool, is if Antorus allows them to get around not just death in Reality, but even within the Twisting Nether and other Fel-saturated places like Argus - "patching the leak" as it were on the Legion's vulnerabilities.
We know that defeating Argus will shut it down, though, and with Sargeras imprisoned, not to mention that Kil'jaeden and (I'm pretty sure) Archimonde gone for good, the Legion is totally leaderless, its main bastion shattered.
But that doesn't mean that demons as a thing won't persist.
Perhaps as long as there is chaos (so, always, pretty much) there will always be demons.
But what will they do, and who will they serve?
Might the surviving Nathrezim return to their old masters, the Old Gods? Might we see Lothraxion recruit more of his kin to embrace the Light? (And even if they become beings of Light, does that mean they'll actually be good? I could see a bunch of Light-infused demons deciding that they're going to continue Sargeras' good work of purging the Void, this time with an obsession with purity and using Holy magic to scour planets of anything remotely void-tainted.) Might demons become truly chaotic - following no leader or ethos and just destroying anything in their path, with none of the Legion's willingness to take a moment to conquer and consolidate their victories?
Or will some powerful demon attempt to take up Sargeras' charge and continue his Burning Crusade in the Dark Titan's absence?
I strongly believe we're going to be mostly free of demons for a good long while in WoW - I even suspect they're building up Death-aligned enemies so that it's not just all Void stuff from here on out - but though our victory in Antorus is/will be a huge deal for the Warcraft cosmos, we aren't eliminating demons entirely.
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