The bites are painful due to the mouthparts of the fly – they have knife-like mouthparts and actually cut the skin to cause you to bleed, then they drink the blood, explains pest control pro Scot Hodges.
Mosquitoes and some other biting pests will have an anesthetic in their saliva which numbs the area of the bite temporarily, but the horse fly does not offer that courtesy, so you can feel the cut they make in your skin.