Could smoking cigarettes damage an orthodontic retainer?

Unlikely. While the toxins and hot gases in cigarette smoke can scar your lungs and cause cancer, they usually do not cause damage to the stainless steel or plastic retainers. However, the tars in cigarette smoke can discolor some retainers.
See your PCP. The smoke will not alter the shape of your retainer, but smoking is bad for your oral health, general health and can cause negative health effects. Ask your PCP how to quit.
No, but... Smoking will discolor the plastic parts of your retainer, but not damage it. Smoking will, however, give you lung cancer (lungs fill with fluids and you drown), bad breath, heart disease, kidney disease, wrinkled skin, mouth cancer, stained fingers, yellow teeth, and so many other nasty things.
Smoking. I would be more concerned about damaging your own body and exposing yourself to cancer than damaging a piece of plastic in my mouth (your orthodontic retainer). But that's just me. The tars and nicotine it deposits on the retainer will not be easily removed and therefore it would\should have to be replaced sooner than if you did not smoke.