As an ex-smoker: it is the nicotine. After I stopped smoking I still went with some of my former co-workers for their smoke breaks and had a coffee, it wasn't really the same "feeling".

Most likely nicotine and engaging your parasympathetic system by moving and firing up your indocrine system.

Smoking + fresh air is a double negative in a way. It reduces your blood's ability to carry oxygen so you're technically hypo-oxiginated.