It probably depends on the type of insect. Some insects see more in the ultraviolet, while other insects are attracted to blue. I have some LED lighting and notice that it tends to be fairly attractive to moths, and only slightly attractive to mosquitoes. The LED lamps have also attracted a couple of big beetles.
Another thing to consider here is that insects do not see blue light the same way humans do. Insects are more sensitive to shorter wavelengths of blue. This does not bode well for LEDs, because the wavelength of blue light they give off is shorter than most of the blue light given off my incandescent source.
Insects are also not attracted to LED lamps in the same way that they are to incandescent bulbs. It seems to be the light that draws them in. But once they are within proximity of the bulb, they do not tend to congregate on the bulb as much. In contrast, with any bulb that gives off a lot of heat, once the insects are in proximity to the bulb, they can start sensing the heat and then like to stay near or on the bulb. So I think depending on the situation, LED lamps could be better or worse.
If you are wondering what to use for outdoor lighting, CFL bulbs tend to attract a lot of mosquitoes, with all the UV they give off, so LED is better, preferably at lower color temperature. I have a 2700K LED bulb outside. It is practically like a bug light, it does not attract insects at all, the light given off is rather yellowish and monotone too.