Unfortunately, bats being out during the day in the winter is a very very bad thing.
A fungus called White Nose Syndrome is killing bats across the country. Some estimates say many species of bats will be extinct within the next decade.
It is a fungus not unlike athletes foot that infects the soft membrane of the bat's nose. The fungus itself is not necessarily fatal, but it irritates them and wakes them up during hibernation. There are not enough bugs out in the winter to sustain their lives and they die of starvation.
The bat was probably hungry and trying to eat anything that remotely resembled food (i.e. your fly).
This is sad indeed. I had heard it has been spotted in the Smokeys. This may be confirmation.