I think it's because they evolved to bite humans and animals sleeping outdoors. The night is full of sounds of crickets, frogs, and other creatures that can drown out a mosquito's hum.

Quiet bug-proof houses are a new invention. Very few mosquitoes successfully make it inside, bite, escape the building, and find a suitable place to lay their eggs. If most mosquitoes get killed after entering the building, natural selection may be pushing for mosquitoes that don't enter homes at all.