It does very, very slowly drain your health, but you would have to intentionally try to die from it. It’s kind of been an in-joke in MGS since the beginning, the cigarettes (cigar in 3) are occasionally actually useful items, such as using them in 1 to reveal laser tripwires if you missed the thermal goggles, but, well, tobacco is bad for you after all, so -1HP every ten seconds or so while it’s equipped.