It's their stress reliever. It's like those people that need their morning coffee to get started for the day, or everything will just fall apart.
But it can also just be a sign that they can't stop.
My dad used to smoke when I was younger, and I used to ask him why he did it. He said he just couldn't stop doing it, but finally he stopped after a long time.
Same case with my friends, although I don't really ask them why they smoke because that's not my business, but I still wouldn't want them to die because of smoking, so I finally got some answers on why they do it. Going through life dealing with people and they're bullshit, or just trying to separate the everyday life of the world from themselves and have a smoke because it "feels good" and makes them feel better. In their case, they know that it can kill them, but they don't really care.