Pocs, my Lab used to do this and Misha does, too! I think part of it has to do with hearing. For insects, flies are pretty loud when they are flying around. Dogs pick that up easily with their good hearing abilities.
I remember once my Lab was in bed. The lights were off. A fly was in the room. I could hear her teeth as she chomped down trying to catch it.
Misha is even more serious about it. She'll follow a fly around the house. Then, out of nowhere you'll see a 10 lb. Jack Russell leap straight up in the air. I think she would be pretty surprised if she ever caught one.
