Exhaust components can contract, causing header/manifold and other leaks (slight) until warmed/expanded.
Also, as stated, catalytic converters need time to heat up to burn off fumes properly.
Again, as previously stated, engines need a richer A/F when cold to idle properly. This leads to more fumes.
This is not harmful to anything but your sinuses unless you do this in a closed garage/something else stupid, etc. You can smoke, whatever you want.
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