It is true that people who exercise have superior ventilation, capillarization, increased VO2max, and several other advantages over people who don't. The reason is that this is a physiological adaptation to stress. This was first described by McGill (Montreal, QC) researcher Hans Selye. In order to get this advantage they actually have to put their bodies into stress, and athletes play with the anaerobic / lactic threshhold and stress their bodies by going it repeatedly. The adaptation is the body's response to this stress.
It also does not address the fact that the reason cigarettes are so toxic is due to the chemicals you directly inhale with every puff. It is not CO2 as PZ suggest