Though hyperbole this is obviously a very real issue. Not so much that the zombie virus specifically is the issue, but when you are messing with anything on that kind of scale, something could very easily go wrong.

More likely possibilities are

1. The mosquitoes mutate to be extra good at delivering malaria.

2. The new mosquitos cause collapse of certain eco-systems.

3. The new mosquitoes become such prolific breeders that while we may not have to worry about malaria, they are dense enough to be a much larger nussance or even dangerous in other ways.

In many ways this is the same type of risk we took when we developed the first vaccine, or when we dropped the first nuclear bomb, or when we switched to leaded gas or started burning fossil fuels. Many of these did have unexpected consequences and some of them were pretty serious, but they all (especially the nuclear test) could have been a lot worse. There was a very real concern that the nuclear reaction might not stop and could burn up our atmosphere or even cause fission of the entire planet.