You will notice that they try several times at the stab. Skin is very soft, and it also has pores. They either find the right spot or a pore. Also they are not exactly soft, they are flexible. Being so incredibly thin also helps penetrate skin.
“They’re like drill bits — so sharp we barely feel the bite,” says UC Davis biochemist Walter Leal. Another set of needles, the mandibles, hold tissues apart while the mosquito saws into the skin. Then a fifth needle, called the labrum, pierces a blood vessel.” – from [here](https://www.npr.org/sections/health-shots/2016/06/07/480653821/watch-mosquitoes-use-6-needles-to-suck-your-blood)
So if you are just taking a mosquito and forcing it into your skin, all those things are not likely to happen.
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