Smoke doesn't seem to get in their eyes - evidently some birds quite enjoy flying through it

Swifts - seemingly, they are partial to a bit of chimney smoke 

 

From The Winged Messenger (September 1953) issued by the RSPCA and incorporating The Bird-Lovers' League Magazine: 

THE practice of  of smoke-bathing has been noted  by a naturalist who watched a herring gull sitting on his chimney-pot, apparently enjoying the smoke swirling around it.

Starlings also like bathing in smoke, and, from all parts of the country, come reports of all species of birds acquiring the habit.

Housemartins have been seen gyrating through a ring of smoke from a factory chimney in Stroud, Gloucestershire, while, in Hove, East Sussex, swifts persistently flew through smoke from a house chimney and dispersed only when the smoke dispersed.

At Catterick Army camp in Yorkshire,  a rook perched on the leeward side of a house chimney, then  tried by many contortions to ensure distribution of the smoke to all parts of its plumage.

A possible explanation is that the birds are  trying to smoke out parasites on their feathers.

But it may be equally true that the birds enjoy the stimulating effect of the weak acids present in the smoke.

The writer, however, has seen gulls obviously enjoying a smoke bath in pungent sulphur fumes from a locomotive depot - and there was nothing weak about these.