" It has nothing to do with his density. He doesn't actually dematerialize and re materialize but rather he opens a portal to another dimension and travel's through it at hypersonic speeds. The smoke is from that alternate dimension. Thus if he were to accidentally open that portal into a wall he would have to instantly portal away as well. This solid object flaw was part of his fascination with Kitty Pryde. With Kitty's help Kurt is a master teleporter. Limited only by the range of his abilities instead of the need to see where he is going. Since he travel's through another dimension it is believed his powers may operater on an even grander scale then Lock Jaw and Death Urges. "