Dear student.
Mosquitoes that carry pathogens are the vector of the disease. Vector merely transports the disease and will not have any traces of the disease. They take the disease from an infected individual to a healthy individual. Mosquito may get infected but does not show any symptoms. This is due to the reason that malarial parasite or dengue virus infects and damages specific organs like liver or blood cells like (RBCs). As liver or RBCs are not present in mosquito, so they do not get infected.
Regards.