becuase if theyve done smoke right they'll of used fluid dynamics calculations which are rather complex. not only that smoke and like effects will all be per pixel effects, and smoke has other propeties like being opaque in some areas while being translucent / nearly transparent in others so the GPU has to render the smoke, and also whats behind the smoke since in translucent/ transparent situations you can see through the smoke.
usually if you cant see something the gpu wont render it, but with smoke you see the smoke, and whats behind so it has to render both, then provide realistic fluid motion, and the effect it has on light etc
example in counterstike smoke nade, as it goes off my fps begins to drop....the gpu has to do all the calcuations above. but if i walk right into the middle everything just goes solid grey and my fps goes back up since its only rendering one colour.