As already stated, it was considered fashionable in those times, and they hardly knew of the health risks involved. There also weren't as many chemicals put into the cigarettes then as now, so though it wasn't healthy, it wasn't as unhealthy as it is today....
Alexandra started smoking in her later years, all the daughters smoked, Nicholas smoked--mostly everyone did back then. I even read somewhere that Nicholas' sister, Xenia, smoked 'one after another' in her old age--I don't know when she started smoking.... But I'm sure most of them, the ladies especially, would not have smoked had they known of the dangers then.