I have thought that too. But maybe if there are 100 mosquitoes coming at you, swatting one will make her go away, but the other 99 won't be worried at all.
On the other hand, if a mozzie is stuck in your house with you (ie tasty food) and is hungry, it might just brave a swatting to get food for its babies.
Good point. She could be so desperate she ignores the dangers cause there are no other options.