“When a mosquito bites, she leaves behind saliva. In fact, the saliva present in mosquito bites serves the mosquito well, since it works as an anti-coagulant. These means the mosquito can quickly draw blood without catching your attention.
“The saliva injected when a mosquito bites causes our bodies to produce a histamine response. We have a slight allergy response, and thus our skin around the bite area gets itchy.” (Via)
It’s amazing what you can learn when you type questions into Google.. ;)