We would like to think that the reason we don't feel the mosquito biting us is that Mother Nature is merciful. If we were aware that the mosquito was in the process of sinking its mouth into our flesh, we might panic, especially because a simple mosquito bite takes a lot longer than we suspected.
Mosquitoes will usually rest on all six legs on human skin for at least a minute or so before starting to bite. Mosquitoes are so light and their biting technique so skillful that most humans cannot feel them, even though the insect may be resting on their skin for five minutes or more.
When the mosquito decides to finally make her move and press her lancets into a nice, juicy capillary, the insertion takes about a minute. She lubricates her mouthparts with her own saliva and proceeds to suck the blood for up to three minutes until her stomach is literally about to burst. She withdraws her lancets in a few seconds and flies off to deposit her eggs, assuring the world that the mosquito will not soon make the endangered species list.
A few sensitive souls feel a mosquito's bite immediately. But most of us are aware of itching (or in some cases, pain) only after the mosquito is long gone not because of the bite or the loss of blood but because of the saliva left behind. The mosquito's saliva acts not only as a lubricant in the biting process but as an anesthetic to the bitee. For most people, the saliva is a blessing, since it allows us to be oblivious to the fact that our blood is being sucked by a loathsome insect. Unfortunately, the saliva contains anticoagulant components that cause allergic reactions in many people. This allergic reaction, not the bite itself, is what causes the little lumps and itchy sensations that make us wonder why mosquitoes exist in this otherwise often wonderful world.
Excerpt from: Do Penquins Have Knees