I don't argue this claim—I don't have any evidence either way—but nor do I regard it as self-evident. An honest, not rhetorical or leading, question: why should inhaling smoke be bad when inhaling, say, ordinary air isn't? Is it the heat? Particulates?
EDIT: Thanks for the excellent responses! (The detailed discussions below are far more interesting than my question, I think.) To be clear (since I am "submitting too fast" to reply to comments below), lest I sound like some kind of denier, when I say "I don't have any evidence either way", I mean literally that—just that I haven't bothered to get any, not that there isn't any.
"Ordinary air" is bad for your lungs when it's full of dust, soot, or other particulates. Smog is bad for you. So is smoke. So is pretty much anything else you might breath that includes particulates. Your lungs can handle it in small amounts but it's never good for them and long term exposure can be really bad for them.
The heat probably isn't great for your lungs either. But I doubt it's a significant factor.
http://berkeleyearth.org/wp-content/uploads/2015/08/China-Ai...
From this, various writers have attempted to make some extrapolations along the lines of "one day in Beijing is equivalent to smoking X cigarettes", where X ranges from 1/6 to 40. There are compelling arguments for both 1/6 and 40, despite those numbers seeming so different. Generally, the 1/6 figure comes from measuring the exact volume of dangerous substances inhaled, and the 40 figure comes from the premise that air pollution is significantly more damaging than tar from cigarettes and thus it takes much less of it to have the same effect as tar from 40 cigarettes. Regardless, the bottom line is that sometimes even ordinary air is not good for you.
Anyway, your observation that air in Beijing, etc., is polluted from smoke works towards my point, not against it.
Sam Harris had a decent presentation about it here: https://www.samharris.org/blog/item/the-fireplace-delusion
EDIT: This is just wood smoke I guess - You are asking about generic "smoke". I apologize for not addressing your question fully.
To the contrary, this is my favourite response (even though I don't have the religious response in defence of wood smoke that Sam Harris hopes to provoke). Thanks!
You haven't seen evidence that smoke inhalation is a hazard with both acute and long-term harms?
Try this: http://scholar.google.com/scholar?q=%22smoke+inhalation%22+p...