R. Jochanan: 0n the second day, since it is written, "Who layest the beams of Thine upper chambers in the waters. . . Who makest winds Thy messengers, the flaming fire Thy ministers."[1]
R. Hanina: On the fifth day, since it is written, "winged things flying, above the earth," [2] and "with two wings he (i.e., the seraph) flew."[3]

All agree they were not created on the first day, so that people should not say that Michael stretched the south end of the firmament and Gabriel the north end.[4]

Another opinion about the creation of angels is to be found in the conversation between the Emperor Hadrian and R. Joshua b. Hananiah:
Emperor: Do you maintain that a band of ministering angels do not offer praise to God more than once, and He daily creates a fresh band who sing before Him and then perish?
R. Joshua: That is so.
Emperor: Where do they go?
R. Joshua: To the place where they were created.
Emperor: Whence are they created?
R. Joshua: From the river fire.
Emperor: What is the nature of the river of fire?
R. Joshua: It is like the Jordan, which does not cease its flow day or night.
Emperor: Whence does it originate?
R. Joshua: From the perspiration of the Hayyot which they exude while carrying the Throne of the Holy One, blessed be He.[5]

[1] Psalm 3 [2] Genesis 1:30 [3] Isaiah 6:2 [4] Genesis Rabbah 1:3 [5] Genesis Rabbah 78:1