In climates and surroundings where the air contains a lot of moisture, this is completely normal. If this is not the case, try the following.
Your temperature setting might be too high for your hair type
Always use your styler at a temperature that is suitable for your hair type.
See chapter 'Using the appliance' in the user manual.
Use styling products that are made for heat styling
Never put any styling products in your hair that are not suitable for use with high temperatures. Products such as hair sprays, mousses and gels are not made for heat styling and might be causing the smoke. Instead, use heat protection spray or serum.
Read the labels on your hair styling products to make sure that they are suitable for use at high temperatures.