The wall has small pores in it so the small insects have sticky pigment  in their legs so they stick their legs  in the pores . 
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if it helped u then pls do mark it as the best :D
I liked your answer....but...then how does they gets sticked on mirrors???? I hopr mirrors does not have any pores
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Mosquitoes have stiff bristle-like structures, called setae,a sticky substance that help it stick to vertical and upside-down surfaces with ease.
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