If economics is correct in its assumption that people are rational, why then would anyone choose to smoke cigarettes?

Alexander thought that the benefit of being remembered and the experiences he would accumulate by continuing would compensate him for the cost of giving up his lavish and long-life back in Macedonia.

In the same way, people smoke cigarettes because they find the current benefit to be higher than the postponed cost. There are many actions that people do that reduce life expectancy such as eating fast food, going rock climbing, going to war, and sky diving. People still do these activities though because there is a perceived benefit which outweighs the risk of death. You may not do what they do, but this is because you have different preferences.