Yes capillaries.
Average capillary is 5-10 microns in diameter, while the average proboscis is 25. The arithmetic is easy.
They are picky eaters, landing, prodding and poking the skin until they find a likely spot where a sufficient quantity of blood can be drawn. That rules out most capillaries, as mosquitoes gorge themselves 2-3 minutes per feeding and most capillaries cannot provide them with the volume of blood they need. If they don’t find such a site on the skin, they fly off in search of the next victim. They do not drill every time they land which, of course, they would if any capillary would do.