Is there something that makes flies slower at high altitudes?
The atmospheric density may not be the only factor, but from a physics standpoint, flying animals should in general move more slowly at high altitude.

As an example, New Mexico's Wheeler Peak is at an altitude of ~4 km above sea level. For a back-of-the-envelope air density calculation, a good estimate of scale height is 10 km, i.e. $\rho(h) = \rho_{sea}*e^{-h/10km}$ , which means the air density at Wheeler Peak is about $2/3$ the density at sea level (other air conditions being equal).
For wing-flapping animals, the power required to maintain flight is inversely proportional to the air density. I'm not confident about how flies' wing movements would be affected (this is where an entomologist should step in), but in any case their air speed should be reduced at high altitude.