Women weren't supposed to smoke. To put it another way, women who were not poor, not hookers and not actresses weren't supposed to smoke. At least, not in public.
The retreat of the men after dinner to the smoking room became a hallmark of Victorian times. This habit was largely instigated in the United States by the onset of the cigar, which throughout history has remained largely a male preserve in smoking.
Just like in Elizabethan times, smoking became dangerous to the social order. When women infringe upon a traditional male activity, it gets to be a problem.
Well, it appears that women were eager to start this kind of trouble about the same time as the cigarette entered the mass market. This was a product that women were welcome to consume. In fact, it was marketed to women as the "torch of freedom" and a tool by which they could overcome silly prejudices. In 1929, one cigarette manufacturer recruited 10 New York debutantes to walk down Fifth Avenue smoking Lucky Strikes. In the late '20s, when the Lucky Strike became the torch of freedom, sales tripled within three years.
And liberated women simply had to smoke.