When these alveoli are damaged, the exchange of oxygen and carbon dioxide can not occur as efficiently. The damage from cigarette smoke to the alveoli of the lungs can cause symptoms such as shortness of breath after activity, coughing and hacking and susceptibility to lung infections such as pneumonia.moking cigarettes is very bad for your overall health. Awareness of the increased risk of lung cancer involved with smoking cigarettes is high, but smoking cigarettes is bad for the health of your lungs and the rest of your body in multiple ways.