Not sure really, probably depends on what kind of smoke grenade. Some use two chemicals, potassium chlorate and lactose, and generate lots of smoke through a chemical reaction. It’s a very similar reaction to the ‘Screaming Jelly Baby’ experiment which you might have seen. If not, there is a good video here: http://scicast.org.uk/films/2009/01/the-screaming-jelly-baby.html
Other smoke grenades use an element called phosphorus and a certain type of phosphorus reacts with air to form phosphorus pentoxide which is a white smoke. You need explosives to blow up the grenade to spread the phosphorus around to react with the air. Phosphorus will burn skin if it touches it so pretty nasty stuff, particularly if it is used around a lot of people.