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If I squash an insect and it produces red "juice", does it always mean it is a blood-sucking type of insect? Or do some insects have red "juice" themselves, so the color is red on its own and not caused by sucking higher animal's blood?

I squashed a small fly-like insect recently, it produced a red stain, so I am wondering if the stain come from the insect itself or if it has to be some other animal's blood.

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No - invertebrates don't have "blood" though they do have hemolymph. Hemolymph flows around the body cavity, rather than through vessels such as veins and capillaries, and comes in to direct contact with tissues and generally it is not red.

Hemolymph fills all of the interior (the hemocoel) of the animal's body and surrounds all cells. It contains hemocyanin, a copper-based protein that turns blue in color when oxygenated, instead of the iron-based hemoglobin in red blood cells found in vertebrates, thus giving hemolymph a blue-green color rather than the red color of vertebrate blood. When not oxygenated, hemolymph quickly loses its color and appears grey. The hemolymph of lower arthropods, including most insects, is not used for oxygen transport because these animals respirate directly from their body surfaces (internal and external) to air, but it does contain nutrients such as proteins and sugars.

~ http://en.wikipedia.org/wiki/Hemolymph

The red you see from squashing, depending on the insect, could come from blood of other animals or (eye) pigments produced by the insect. For example, in my lab we have some Drosophila melanogaster with red eyes and some with white eyes (they carry a genetic mutation which represses the production of pigments in the eye) - if I squash the red eyed fly red "juice" is left on the desk, this doesn't happen with the white eyed flies.

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I edited my question slightly. I knew insects did not have blood, I just did not know how to name the "juice" which they have inside. –  Honza Zidek Jul 2 at 13:47
Other examples of strongly red non-blood pigments: clover mites, which are abundant, red, and easily squishable; and cochineal bugs, which have been an important source of red dye for hundreds of years. –  Oreotrephes Jul 2 at 14:57
Some insects do have "blood pigments", namely hemoglobins, e.g. larvae of many chironomid species. –  har-wradim Jul 2 at 19:04
@har-wradim yeah..chironomous larvae are beautiful ! Especially when they undulate. Amazing to watch them under stereo microscope. .. –  biogirl Jul 4 at 3:37

Insects do not have blood as we know it from the higher animals. They have a kind of, which is called hemolymph and is, compared to human a mixture of blood and the lymphatic fluid. The most important difference is that hemolymph doesn't transport oxygen and thus has no red blood cells. The "breathing" of the insects takes mostly place through passive oxygen diffusion through the "skin" and small openings in it.

The hemolymph is mostly made of water and contains things like amino acids, carbohydrates, lipids and so on and is very important for the distribution of nutrients in the insect. It also contains hemocytes which are part of the insects immune system and play a role similiar to human phagocytes.

The color of the hemolymph comes from pigments and varies quite a lot between insects from green to yellow to red.

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I edited my question slightly. I knew insects did not have blood, I just did not know how to name the "juice" which they have inside. –  Honza Zidek Jul 2 at 13:46

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