Where to catch them in Moscow and the Moscow region?

If you'd like to catch more insects and make less effort at the same time, and you do not have specialization for specific groups of Insecta, just put a white screen at night (even a white sheet is suitable like one) and turn on different lights on it (for example, one mercury lamp plus one UV lamp). You can put it almost anywhere, the main thing is that there is a socket for powering light bulbs nearby, and that it is not too high (on the 27th floor, the results may disappoint you) and so as not to interfere with your neighbors.
Yes, if you have a meadow, a pond, a birch grove, and a coniferous forest near your place, and there are no other lights, roads and other buildings — this is wonderful, and you can expect more insects. But if you have never caught insects before, and then you just put a well—lit screen on the balcony, even in a typical residential area of the city, you may be surprised how many different hexapods you will see without actually leaving your home.
PS. The result, both in the city and in the field, will strongly depend on the type and power of the lamps used, as well as, to some extent, on the features of the screen.