I can't (distinctly) smell cigars that I smoke while I am smoking them either. However, if I walk into the room later, or into a room where others are smoking, then I can smell the room note(s) - another situation is if I deliberately sniff the smoke after lighting a cigar before drawing on it the first time.

Smell is a component of taste (which is why, for example, food can taste blander when one's nose is plugged from a cold). Some people's brains integrate smell into taste more than others. My suspicion people like me also don't gain additional taste nuances from blowing smoke up the nose ('retrohaling'), either.