Smoke Ghost is a 1941 short story by Fritz Leiber. I read it online here. It begins with this:
Miss Millick wondered just what had happened to Mr. Wran. He kept making the strangest remarks when she took dictation. Just this morning he had quickly turned around and asked, "Have you ever seen a ghost, Miss Millick?" And she had tittered nervously and replied, "When I was a girl there was a thing in white that used to come out of the closet in the attic bedroom when you slept there, and moan. Of course it was just my imagination. I was frightened of lots of things." And he had said, "I don't mean that traditional kind of ghost. I mean a ghost from the world today, with the soot of the factories in its face and the pounding of machinery in its soul. The kind that would haunt coal yards and slip around at night through deserted office buildings like this one. A real ghost. Not something out of books." And she hadn't known what to say.I've read that it's considered influential and that it stands at the beginning of the modern urban fantasy genre. It places the ghost in a distinctly urban, industrial setting.
SF Signal calls it "quaint". Weird Fiction Review discusses "Grit and Social Dynamics" in the story, with special attention to the growth of the city, to the power of the female, and to racial issues. The Mythopoeic Society says that "Leiber modernized the horror story".
I have a list of horror stories and novels here that I'm trying to keep updated.
The photo of Fritz Leiber at the top of the page can be found scattered all over the internet, including at Fantascienza.com