There are actually a lot of reasons for this. For one thing, diseases that spread by mosquitoes usually have to have high concentrations in the blood. The virus concentrations in HIV aren't that high.
For another thing, mosquitoes are NOT little flying hypodermic needles. They would no more inject blood from one person into the next person they bite then you would throw up your breakfast onto your lunch.
Diseases that spread by mosquito actually have to doa number of things. They have to survive in a mosquito's body, spread through the mosquito's body, and infect the salivary glands of the mosquito, because saliva is what the mosquito injects into humans. To do this, they have to be able to infect mosquito cells, survive in a body temperature very different from thatof a hunman,and evade the mosquito immune system. They really have to be an insect infecting disease and a human infecting disease rolled into one. That's pretty complicated. HIV just isn't that complex. To use mosquitoes as a vector, you really have to be a specialist.