This criticism is apparently quite reasonable. You can also observe that being underweight is correlated with smoking.
[Edited to add: this article explicitly considers the link to cancer, and rejects it, https://bmcpublichealth.biomedcentral.com/articles/10.1186/1... ]
However, it doesn't explain why being 'overweight' BMI consistently proves to be protective against death, despite it being so stigmatised that it affects quality of medical care.