You can buy a rubber strip that is screwed on to the bottom of the door to seal out drafts. It can be positioned for the height of the opening between the door and the sill plate. These strips are available from all local home centers.
You might try that sticky backed weather stripping and apply around the door frame; not on the door and keep it close as possible to the edge where the door meets. I don't know if it will keep out all bugs, but surely some.
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