You'll also find people asking why they crave sugar after they quit smoking cigarettes, cold turkey.
The answer to both: nicotine addiction (like all uppers/stimulants) messes with your blood glucose in the long term. Nicotine raises blood sugar levels.
To further answer your question, nicotine addiction messes with your dopamine/norepinephrine/adrenaline in the long term. Nicotine raises these neurotransmitters, causing increased "energy" and focus.
Digestion takes a lot of energy. When a smoker eats, they begin to feel a heavy blood sugar drop, they become tired, they begin to lose focus, they become irritable and moody. Hence, they "need" a cigarette in order to normalize.
I'll go ahead and cover alcohol and sex.
Cigarettes comprise more than Nicotine and it's psychological/physical effects.
Tobacco also brings oxytocin and MAOI's to the table. Alcohol, like benzodiazepine, works on GABBA, causing neural transmitters to slow down. As an addicted smoker has a body accustomed to a drug that raises many neurotransmitter levels, alcohol has an amplified effect. Thus, smokers smoke a lot when they drink.
Sex (and exercise) releases a slurry of multiple (and seemingly contradicting) hormones and neurotransmitters. Depending on the specific sexual event, time of day, and the genetic makeup of the individual; these neurotransmitters/hormones can vary in levels. To pinpoint why someone smokes after sex would be difficult. They could be "chasing the dragon" (dopamine), needing energy and focus, or require relaxation (maoi/oxytocin). Obviously, it is certainly relative to the body's chemicals.
Hope this better answers your question than "I don't know, I think it's because it makes the caloric content of the food magically disappear".
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