Why? Um, because everything is made of chemicals.
tobacco is not a chemical, but a group of them. When it is burned, I creates other chemicals because burning is a chemical reaction. What chemicals are in the tobacco itself depends on the soil it was grown in, the way it was farmed, and the way it was cured. (All of that also effects the taste and texture of the finished product.)
Even after curing, the tobacco is processed. Preservatives are introduced at this point and sometimes chemicals that give the leaf a certain texture. Chemicals, like PG, are also used to keep the moisture content at a certain point.
Then it is flavored. Each flavoring is composed of a slew of chemicals.
The processing and flavoring chemicals are also burned.
Big tobacco has already experimented with electronic cigarettes and cigars. One cigar was not electric, but had an element in the end that was heated by a lighter. There were no provisions in the regulations then for reduced harm tobacco products, so were treated as regular cigarettes and cigars by the government. Also by all second hand things I have heard, they tasted worse than bad.
Of course they had many chemicals in them. They had flavor even if it was bad.
It is the burning that is most dangerous to health. Lettuce makes a fine salad, but inhaling the smoke of burning lettuce would not be as heathful as eating a salad. It would be at least as harmful as inhaling any smoke, and maybe more so? I don't know of any studies examining the long term health effects from inhaling burning lettuce though.
Just keep doing what you feel is best for you.