Aquatic insects have developed systems that allow them to breath both in and out of water. Some insects, like water beetles, carry bubbles of air under their wings, which allows them enough air for a short dive. Once the oxygen in the bubble is used up, oxygen from the water diffuses into the bubble. However, insects still have to come to the surface to get more air periodically. Some other insects have a system in which air bubbles are held securely on millions of tiny hairs. These insects are able to stay submerged much longer, and almost never have to come up for air. Immature aquatic insects, called naiads, get oxygen by sucking the water through gills and using what air they need.

Source:
Florida's Fabulous Insects
by Mark Deyrup
www.insectzoo.msstate.edu