some do and some dont.
It protects the animal and gives it support.
All insects have an exoskeleton, as it is one of the defining characteristics of almost all arthropods, and seeing as insects are arthropods, you can bet that all insects DO have exoskeletons.
mosquitoes fruit fliesblack fliesladybugs mayflies silverfish dragonflies crickets cockroaches grasshoppers walkingsticks
Exoskeletons are actually the 'bones' of a bug. They just have theirs on the outside.