A mosquito doesn't "bite," of course. Its proboscis works like a syringe to draw out blood. The resulting itch is caused not by the piercing proboscis or the protein in the mosquito's saliva but by the body's immune response to them.
SOURCE: National Institute of Allergy and Infectious Diseases | GRAPHIC: By Brenna Maloney and Patterson Clark, The Washington Post - May 01, 2007