Smoke coming from vehicle carrying retired soldier (5)
I believe the answer is:
cigar
'smoke' is the definition.
(I've seen this before)
'vehicle carrying retired soldier' is the wordplay.
'vehicle' becomes 'car' (car is a kind of vehicle).
'carrying' is an insertion indicator.
'retired' says the letters should be written in reverse.
'soldier' becomes 'gi' (government issue or general issue).
'gi' written backwards gives 'ig'.
'car' enclosing 'ig' is 'CIGAR'.
'coming from' is the link.
(Other definitions for cigar that I've seen before include "Item kept in a humidor" , "Rolled tobacco leaf for smoking" , "Havana, perhaps" , "Tobacco product" , "Corona, eg" .)