I too had cigarette thieves, and I never figured out why they did it.  It's
like any ferret fetish - you rarely know why they steal something, you just
know they're determined to have it.  Mine would run off with cigarettes all
the time, usually putting a couple fang marks in the filters so they were
unsmokable.  Maybe in their weaselly way, they were trying to get me to
quit.
 
One funny note: they _hated_ menthols, and would never steal those.
 
kat
[Posted in FML issue 2631]