If I understand your question correctly, you are asking why air inside is usually cleaner than air outside, especially if it is smokey.
Smoke is actually not a gas, but solid particles that are suspended. Because of this, the smoke particles fall down, but at a very slow rate due to resistance. When the air is blown against the wall, the smoke can either blow around the wall, or it can be deposited into the wall (think of dust build-up). Of course, smaller particles can negotiate the curve easier, so it isn't perfect.
A house is (generally speaking) four walls, so if smoke was blowing against your house, even the small particles that could go around a solitary wall would be blocked off by the walls on the side of the house.
As the other answers suggest, a house generally isn't perfectly cut off (hermetically sealed). This means that small openings in your house can let air and let the smallest particles of smoke in. For other reasons, that is good and bad. If too much smoke is brought in, it is hard to get out (consider a cigarette smoker inside). For example, furniture acts as a capacitor of smoke, gradually releasing it in time.
In your case, consider you open your doors a bit and some smoke got inside. The smoke will diffuse throughout your house and settle into the floor. Assuming the mass of the puff of smoke is much less than the mass of air inside your house, the concentration of smoke inside your house will likely be negligible.
There are a number of different ways you can slow smoke down from entering into your house. Besides the ways listed above, building an anteroom may also prevent smoke from entering and make your house a bit more energy efficient.