why are malarial parasites specific for anopheles
The host/parasite relationship is normally very specific: because there are a lot of molecules that have to bind each other for the parasite to complete its cycle, a parasite is not capable of invading any given organism; the same way, a host is not invaded by any given parasite.

That being said, you have to keep in mind that mosquitoes are also hosts (despite of, in the case of malaria, having less symptoms when compared to the human host). In fact, regarding malaria, some parasitology books classify the mosquitoes as the "definitive hosts", while humans are "intermediate hosts" (because the sexual reproduction of Plasmodium happens in the mosquito, not in the human being). So, there are a lot of molecules that have to be present for the parasite finding its way through the mosquito's organism. A plasmodium cannot survive inside a Lutzomyia mosquito, the same way a Leishmania cannot survive inside a Anopheles mosquito. There is specificity.

Actually, not all Anopheles are the same (just as not all human beings are the same). They have differences regarding the susceptibility to the parasite:


  Some Anopheles species are poor vectors of malaria, as the parasites do not develop well (or at all) within them. There is also variation within species. In the laboratory, it has been possible to select for strains of An. gambiae that are refractory to infection by malaria parasites. These refractory strains have an immune response that encapsulates and kills the parasites after they have invaded the mosquito's stomach wall. 


(source: https://www.cdc.gov/malaria/about/biology/mosquitoes/)

Please note that other mosquito species are not resistant to the plasmodium, because we call "resistant" a host that's capable to fight the parasite. The other species are not even hosts!