Mosquitoes don't inject blood into a person. Instead, they inject their saliva into you. The saliva prevents blood from clotting. By the way, it's their saliva that causes a mosquito bite to itch. Other diseases can go into the salivary glands of a mosquito.
Malaria is a good example, and malaria has evolved to survive inside mosquitoes.
Luckily HIV has not evolved to be able to live in the environment found inside a mosquito. HIV cannot get into the salivary glands of mosquitoes, and will not be injected into another persons body. So a mosquito does in fact puncture your skin to get access to your blood, but it does NOT inject another persons blood into you, and will not inject HIV into you. Malaria and other diseases spread by insects, strike anyone living in a given area who are exposed to those insects. However, HIV only strikes people engaging in specific activities like sexual activities, needle sharing etc.