Why mosquito bites and it causes itching?

A mosquito does not really bite you, of course. It sucks your blood.

To help enable effective blood sucking, it firstly injects anti-coagulant saliva to prevent the blood from clotting or forming a scab whereas it feeds. When the mosquito goes away, its saliva stays in the pocket in your skin.

Now comes the itchy part. Your whole body releases histamine to fight off a foreign substance. It is the similar as an allergic reaction. The histamine causes swelling around the area and as a side effect, it itches.