I think we do that for the same reason we wage wars when everyone knows their disastrous effects and for the same reason we keep judging people by their appearance rather than by their moral values and their contribution to the common good of their fellows even though we are all taught that " L'habit ne fait pas le moine :(The clothes don't make the Priest)" and "Don't judge a book by its cover. Maybe it has something to do with our 'evil' side. A philosopher (i forgot his name) once said that people are basically bad this is why so many prophets were sent to set things right.
Another reason that i may think of is the fact that smoking is usually seen as an acceptable way for being accepted by one's peers, a way to show that one is no longer a young teenager and that one is like the father or older people in one's vicinity. It means those who smoke want to be treated and seen as adults and mature persons.
I can also add the fact that those phrases we see on cigarette packs are only there to make the "ministries of health" happy. They are not meant to deter people from smoking. Just think about the size of the warning! It is so unnoticeable when it is compared to the giant posters displaying famous actors, top models or other celebrities joyfully puffing on their cigarettes. The role of media is also paramount in this respect: Films, magazines, books, TV, etc.. are, unfortunately, badly influencing youngsters and presenting a biased view of smoking.
It is true that there are efforts to show the public the detrimental effects of cigarettes but they fall short of fully convincing smokers to give up smoking.