This is because SmokeGrenadeBase::OnWorkStop sets the grenade health to zero, which in turn causes ExplosivesBase::EEKilled to fire, which calls InitiateExplosion, but since smoke grenades don't have ammo, it does not explode anything but calls OnExplode regardless, which starts a timer that deletes the grenade. The smoke particle will get deleted alongside the grenade, making it disappear instantly which looks visually displeasing.