Automobiles, sugary foods, an opiods would like a word.
But yes, in terms of threats from other animals, they're at the top of the list.
edit: Holy heck with the instant downvotes. Look: I'm not trying to downplay the threat of malaria and other mosquito-borne illnesses. Malaria is the #9 cause of death in developing nations today and totally worth the efforts to fight it. But it's also true that, if you get in a car or live around cars, they are more likely to kill you than a mosquito. Heart disease (which I'm representing here with the phrase "sugary foods" obviously) kills more people everywhere on earth than malaria, including developing nations.
So depending on how we define "the most dangerous thing", it's not entirely crazy to say that the mosquito isn't it.