Arduino Nano + (2* tlc5940) + 34 LEDs = Power Questions
As Ignacio has mentioned the TLC5940 is a constant current driver. The 2kΩ resistor sets the current for the LEDs regardless of the forward voltage (or colour) or the supply voltage. 

Also as Gerben says, move the 0.1µF (100nF) capacitor close to the TLC5940 as you can. There should be one for each TLC5940 since they are decoupling capacitors.

You might like to increase the capacitance of the electrolytic too. The purpose of that capacitor is to provide a low impedance energy source to supply the circuit (batteries are actually quite high impedance by comparison). Since you have lots of LEDs being controlled by PWM the current draw will be fluctuating wildly all the time, and lots of energy over brief periods will be wanted.

Another thing to watch, mentioned again by Ignacio, is the supply voltage for the TLC5940 is 5.5V absolute maximum. I wouldn't go much above 5V. Depending on what your batteries actually are you may be better running from 3 of them (4.5V alkaline AA - Ni-MH would be ~3.6V, so 4 of them, giving 4.8V, would be better in that situation).

I would also question your use of the TLC5940. They are not the easiest chips to drive requiring quite a strange protocol. Personally I prefer the TLC59116 which is the I2C variant of the same chip. Much easier to control from an Arduino, and requiring just 2 pins. Not so easy for bread-boarding though as they're SMD only.