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Is it really, so why they don't advertise cigarettes?

Because - at least in the US - Tobacco advertising is specifically banned. https://en.wikipedia.org/wiki/Public_Health_Cigarette_Smokin...

But if it is a free speech, doesn't this law then violate the constitution?

I would imagine that if it was a free speech, then tobacco industry already would have this law thrown out.

Can you legally tell children to kill themselves?

Only if you do it on twitter.