Don't think I've ever had an ashtray ever soak up any smells. I have two or three that I use and 2 others that I leave on the coffee table as eye candy. When I'm done I have all my ashtrays inside on the coffee table.

All the ashtrays I use/have coated in glaze. Is yours shiny or flat in its finish?

On the other hand, I've never picked up my ashtray and smelled it but all my friends are non-smokers and never say anything about the room smelling of burnt cigars. I do occasionally smoke inside and the smoke doesn't linger either (probably due to the leather couches and hardwood floors).