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Me neither. And in the 13 years we've lived here, I must have caught hundreds of the little sods (*). The only time there's a mess is if I forget to check the traps regularly and either the stomach contents digests its way out through the mouse and leaves a little puddle, or the flies get there first.
(* Despite repeated and assiduous blocking up of gaps, wire mesh over vents and so forth, they *still* get in.)