For starters, the mosquito's "bite" (only females are capable of taking blood) doesn't numb the victim by its "saliva". It does inject some saliva during the bite in order to thin the blood so it doesn't coagulate in the narrow channel of the mosquito's proboscis. When it's done feeding, some of this saliva remains in the wound. This causes an immune system response and itching. The welt tha it produces is the evidence the victim's body is breaking down the proteins tha twere injected (according to Revolution Health).
Secondly, the citronella type candles are largely ineffective unless the human stays within the smoke cloud produced by the candle... which is pretty difficult. As far as what they "think"... mosquitos and other insects can only operate on instinct since their tiny "brains" have only about 200,000 neurons compared to an estimate somewhere north of 100 billion for humans.
Logic is not the mosquito's forte'... Come to think of it, logic is not neccessarily some human's forte either...