Even though your dog has fur, he has patches of skin vulnerable to mosquito bites- nose and ears, for example. Just as in humans, mosquito bites can be just a source of irritation and annoyance, or they can cause something more serious such as parasite-borne diseases.
For dogs, the most serious disease that can come from a mosquito bite is heartworm. Inside the host, heartworm causes damage to the heart, lungs, and arteries. A blood test is usually needed to make the diagnosis, and, though treatments are available, prevention is preferred and more important.
Mosquito-borne diseases that you’d typically hear about in humans, such as West Nile Virus and Eastern Equine Encephalitis, are extremely rare in dogs. It’s unlikely that you would need to be concerned about their diagnosis and treatment in your canine.
To prevent your dog from contracting heartworm infection, keep your dog indoors (especially in the morning and early evening) and minimize the local mosquito population around your home. Avoid walking your dog near marshy areas. Use insect repellents with caution, as they are not recommended for cats and dogs. Finally, put your dog on heartworm prevention medication.
Source:
http://www.hartz.com/Dogs/Health/Parasite_Protection/mosquito_bites_and_your_dog.aspx