I suspect you are smelling something else that is reminding you of cigarette smoke. For your clothes to absorb cigarette smoke (and thus the smell) your bag would need to be open and in a room for a long period of time with a smoker. I doubt that baggage handlers or security screeners are allowed to smoke in the rooms where they work. Europe has been moving very fast on anit-smoking laws. France has jumped several steps in just one year. Their laws are now more restrictive than Florida's (although Florida will catch up this year). From which EU city were you traveling? Was your bag delayed a few days? I have never found the little note from security when traveling from Europe even though I was 100% sure my bag had been opened.

I am not claiming to know what is causing the smell but I seriously doubt it is actually cigarette smoke. Just my 2 cents.