If he knew..

[Estelyn Telcontar]

Proof: They're immortal!

I looked up the passage Lobelia mentioned. Legolas is said to be singing softly to himself while the others smoke, then he says:

...the mists are blowing away, or would if you strange folk did not wreathe yourselves in smoke.

That seems clear enough, as I see it, though it does not prove that all Elves refrained from smoking, of course. Maybe only those with beards smoked!