Anopheles mosquitoes are the primary vectors for malaria in Africa, transmitting the disease to more than 100 million people annually. Recent functional studies have revealed mosquito genes that are crucial for Plasmodium development, but there is presently little understanding of which genes mediate vector competence in the wild, or evolve in response to parasite-mediated selection. Here, we use population genetic approaches to study the strength and mode of natural selection on a suite of mosquito immune system genes, CTL4, CTLMA2, LRIM1, and APL2 (LRRD7), which have been shown to affect Plasmodium development in functional studies. We sampled these genes from two African populations of An. gambiae s.s., along with several closely related species, and conclude that there is no evidence for either strong directional or balancing selection on these genes. We highlight a number of challenges that need to be met in order to apply population genetic tests for selection in Anopheles mosquitoes; in particular the dearth of suitable outgroup species and the potential difficulties that arise when working within a closely-related species complex.