Why do people dance? Often still to raise the opportunity to meet any members of the opposite sex? When mosquitoes this is also true.
In many species, the males gather in small flocks.
For their dance, they sometimes find an area feature such as a shrub, plant or a tree or an open space. Even in winter winter mosquitoes do that. Especially on sunny days. Mosquitoes are cold-blooded. As the temperature increases, so does their body temperature, their metabolism and their activity level.

A hoverfly can linger immobile in the air. Not a mosquito. So if she wants to remain at about the same spot, she must dance some up and down and back and forth.

Fishes often swim in schools because as single they are an easy prey for an attacker who can then spot them and follow. In a swirling group it is difficult to follow a victim. Individually they are therefore safer, although there are always casualties. Possibly this is also a reason to stay together for mosquitoes. As protection against swallows and predatory insects.

"Real men do not dance." According to the American writer Norman Mailer. But when mosquitoes so the do. Only the males are dancing in swarms. To lure the females they secrete pheromones. The cloud fragrance of a swarm is much stronger than the effect of one mosquito. Strong together. And it increases for both the males and the females, the probability of finding a partner and to have offspring. Just like in the disco. On your own you cannot find a partner soon. Their mating dance becomes ultimately an orgy.

The females are also attracted by the sound of the swarm. Once they fly into the swarm, they are caught by a male and all fall copulating to the ground.

Once the females are fertilized, then thy become nasty vampires. For the development of the eggs, they need proteins from blood. It is therefore that only the females are viciously stabbing. Males are vegetarians.
Later, the eggs are deposited on decaying plant material, fermenting fruit, or on a pile of manure. Or in the stagnant water of ponds and pools. Each mosquito species has its place where it is good to stay for the larvae.

Mosquitoes Dance is also a book and the title of several humming or not songs and poems.

Also wether prophets observed mosquitoes dance:

Dancing mosquitoes in januar, the farmer a beggar.
February mosquitoes dance gives for March a poor chance.
If the mosquitoes go dancing, it’s certainly done with the rain.