The same way humans react to airborne poisons when they don't have tracheae. :-)

Insects do breathe, and Marc Srour answered that here: How do insects breathe? To summarize, instead of breathing air into lungs and having the blood carry oxygen from the lungs to the body, insects have holes along the side of their body called spiracles that open into a network of tubes called the tracheal system. Just like we have blood vessels, insects have air vessels that carry air to all the tissue that needs it. These vessels would carry any airborne poison as well.

Fun fact: this is why insects don't drown when their heads are underwater, or suffocate when their heads are submerged. They don't breathe through their mouths, and have no noses. As long as a spiracle is open to the outside, they can breathe… like these mosquito larvae and pupae whose heads are submerged. Yes, the larvae breathe through their butt.