Bees do in fact breathe in oxygen however it is different from how we do. They do not have lungs like humans or gills like many other animals.
Bees have a complex structure of air sacs and trachea. They breathe in oxygen through several air sacs on their bodies. The air sacs are called spiracles and allow oxygen to move directly into the body. From the spiracle the air moves into trachea. The trachea is flexible and can stretch however it is also strong and withstand pressure and abrasions.
From the trachea, the air goes into smaller and smaller tubes, eventually getting into the cellular tissue. This is where the tracheole become super tiny and connects to the tissue. It is also where the gas exchange takes place.
So where are the spiracles that allow this process to start? Bees have three pairs on the thorax and seven pairs on the abdomen. If you sit and watch a bee that was flying and just landed, you can see them moving their abdomen up and down. There are several reasons why they may do this but if you catch them at just the right time, it is them breathing. Research has suggested that during periods of activity, the bee will pump their abdomen to increase gas exchange. It is much like a human trying to catch their breath after running.