Some mosquito species are attracted to light.
More Info: Different species respond differently to light, some are attracted to it, some repelled. Further, different sexes of the same species differ in their attraction or repulsion to light.
Light Attracts Only Certain Species
The New Jersey Light Trap is a good example of a device that utilizes light to attract mosquitoes. Rutgers University, the New Jersey Department of Health, and mosquito control agencies have been using the trap since 1934 to obtain mosquito data for research and control purposes. This simple trap uses a clear 25- watt light bulb to attract mosquitoes. But the trap does not attract all species. According to William Reinert of Rutgers University department of etymology, light is not as attractive to species that are only active during the day or those that prefer wooded areas. Also, some species are negatively phototaxic, which means they instinctively move away from a light source. According to Reinert, there are 10 species that can be accurately monitored by the device, and 12 that cannot. 
Additional Factors Influencing Mosquito Light Attraction
Several studies have concluded that other factors influence a mosquito’s attraction to light such as the distance from the light, the intensity, type, and color of the light, and physiological factors. For example, several studies have confirmed that the females of the Ochlerotatus taeiorhynchus species are only attracted to light cyclically on the fifth day after emergence and every fifth day thereafter. Males of the species seemed to be attracted to light only the first three days of life. 
How to Appear Less Attractive
If you always seem to be the target of the mosquito attacks, even when standing outdoors with a group of people, there are things you can do to seem less attractive. Light or no light, mosquitoes’ main attractants are those cues that will lead to their next blood meal such as body heat, carbon dioxide, and perspiration. Those tenacious little buggers can and will find you in the dark. 
Some mosquitoes species seem to be attracted to larger, dark objects so those with lighter clothing may be targeted less frequently than those wearing black. Some species also seem to prefer particular body scents over others so avoiding perfume and scented body lotions may help to deter the attacks.[@]
Don’t Use Attractants
Knowing what attracts mosquitoes in your area is a great way to take measures to avoid them, but don’t use these attractants in attempts to trap them. Experts warn that they only attract MORE mosquitoes to the area increasing rather than diminishing the problem. 
 Rutgers Department of Entymology; Reinert, W
The New Jersey Light Trap: An Old Standard for Most Mosquito Control Programs
Silver, John B., and M. W. Service.
Mosquito ecology field sampling methods..
3rd ed. Dordrecht, the Netherlands: Springer, 2008. Print.
 New Jersey Mosquito Biology and Control. Center for Vector Biology
Mosquitoes in Your Life
 University of Wisconsin-Madison
Curiosities: Why does it seem like mosquitoes are attracted to some people more than others? http://www.news.wisc.edu/15355
57th Annual Conference of the California Mosquito and Vector Control Association
Attraction of Florida Mosquitoes to Artificial Light in a Field