Smoke

From DwarfFortressWiki

Smoke is the product of fire. When items burn, they release smoke into the surrounding area.

Dwarves that inhale smoke will get unhappy thoughts. They also may get internal injuries or become unconscious. The presence of smoke means that the dwarf is also reasonably close to a source of fire, which can cause fun times.

Smoke will not go through closed doors, but it is apparently thick enough to hold doors open if it gets through.