The answer to this is wholly dependent on how you conceive of morality. In many philosophical traditions, judgments of morality can only be applied to sentient beings with free will and knowledge of the consequences of their actions. That is roughly the standard applied in the law in most western countries.

However, it's possible to conceive of a universal moral system capable of making moral judgements of all things, living, non-living, sentient, non-sentient and so forth. Only under such a system could we apply a moral judgment to mosquitoes.

Personally I'm very sympathetic to the notion of universal morality, and my moral sense tells me that the parasitic life style is indeed immoral. But if we allowed a lawyer for the mosquito to make objections, I'm sure she would point out that the individual mosquito cannot choose other than to suck blood; and also that the typical human lifestyle is arguably much more immoral in terms of its consumption of the lives and resources of other living beings than is a little theft of blood from a creature that hardly notices its disappearance.