Mmaviator:

They could be used---but there is no reason to.

Winglets are used on civil jets because they give part of the benefit of a longer wingspan and therefore higher aspect-ratio. Think "High-aspect" like a high performance sailplane. Longer wings mean less energy loss to wingtip vortices.

However, long wings mean a longer lever trying to break the wing off at the wingroot. That means you have to build your wing stronger--and therefore, heavier.

Winglets give some of the increase in apparent "span," but with less bending-moment.

Fighters:

Since the wings of fighters are generally built for strength anyway (most modern fighters allow up to 9 g, which means they are built to a 13-g ultimate strength), the small gain in efficiency in level-flight is offset by the increase in weight. Weight is a performance-killer in a dog-fight.

Plus, the drag of external weapons, whether they are missiles, bombs, or self-defense jammers, is a far greater variable than the meager savings by using winglets.

Winglets would also make a bigger radar signature, which means easier detection by the enemy.