According to a new study, it's because of poor impulse control:
It’s not that they are ignorant. Studies show that smokers are at least as informed as nonsmokers about the risks of smoking — and possibly more informed.
You might suspect, then, that smokers tend to be risk takers by nature. And some evidence suggests that smokers do take more risks than nonsmokers: they are more often involved in traffic accidents, less likely to wear seat belts and more likely to engage in risky sexual behavior. Women who smoke even have mammograms less frequently than their nonsmoking counterparts.
So what accounts for smokers’ risky-looking behavior? Our contention is that smokers exhibit poor self-control in the face of immediate temptation — which can look like a willingness to assume risk. (For instance, you might choose to have sex without a condom not because you are comfortable with the risk but because you are too weak-willed to bother with the inconvenience.)
I've thought a lot about the differences between rural and urban residents, including how more people smoke in the sticks. Smoking and carrying guns have something in common: they're nearly as hazardous or noxious to people nearby as they are to the people doing them. It's obvious, isn't it, that smoking stinks up the area, and having a gun makes you more likely to shoot someone else. Living in a dense city forces people, through legislation or social pressure, to behave in ways more appropriate to being around other people.
So, if people smoke because they have poor impulse control, yet we're obligated to issue at least some concealed-carry permits, we really shouldn't give them to smokers, should we?