But it's a living thing. Don't abort it.
It would be nice if we could protect all living things, but it's not feasible. Focusing on protecting human life seems worth doing, as well as doing what we can for animals, but I think that drawing the line at insects who are in your home makes sense. Maybe I should capture the fly and mail it to you if you would like to give it a home?
For insects outside, I make an effort- I try to not step on ants on the sidewalk and for worms on the sidewalk after a rain, I put them back on the grass- I have saved hundreds of worms I am sure, and I'm probably a legend in worm heaven. But I have my limits- some people shoo away mosquitos that are on them, but I smash them- you can only do so much.