Cracked Heat Exchanger Carbon Monoxide
If the heat exchanger is leaking Carbon Monoxide into the heated air in dangerous quantities, it SHOULD trigger the Carbon Monoxide detector, but I wouldn't assume that everything is fine just because the alarm is silent. Your life is too important to gamble on that device working as intended.
On a side note, I think that a wood or cigarette burning smell is much different than any odors produced by a natural gas furnace (in my opinion anyway).
Best bet is to inspect your furnace periodically, or hire someone to do so.