All insects have a mortal fear of smoke because it is a harbinger of flames and flames - for an insect - means instant death. They have no mechanisms at all that are capable of regulating their body temperature sufficiently to survive direct flames.
Consider a population of mosquitoes (or any flying insect for that matter) that successfully develops a smoke-avoidance response. In an environment where forest fires are common and smoke is therefore a clear precursor - would this population have a better chance of survival than another that does not? I think you could only answer yes.
It merely remains to prove that it is possible for a population I have described to develop. Well - the presence of this question on this board proves that it is possible. I realize this is a slightly weird form of proof by induction but you have to admit it works.
Sorry - no references or citations - just a "because evolution".