Ah, the ignorantly worded non-smoker question.
Why do people THINK they "NEED" a cigarette to relax?
Why do SMOKERS NEED a cigarette to relax? would be a better wording.
If you haven't ever smoked, I don't think it is fair to judge those who do, or to comment on why they do what they do.
Anyway, a smoker needs a cigarette to relax because nicotine calms your nerves down, also, you tend to sit, and just think for a few moments, and really just relax. Nicotine is an addictive substance, after about an hour, you start to feel the need for it, stress intensifies this feeling, and especially at work when I am running around, dealing with angry customers, etc, the chance to stop for a few moments by going outside to smoke is intensely relaxing. It is one of those things you can't understand unless you are a smoker.
There is a reason for us to smoke, we weren't addicted at birth, and almost everyone who smokes regularly knows they are addicted, but the feeling, and relaxation of smoking outweighs the known health problems we risk.