"Those of us who smoke should have their lungs x-rayed regularly"
I was told that the bold part of the sentence is incorrect but I didn't get why. Some explanation please?
I think that TheParser is probably right, though there might be an argument that 'those of us...' need not include the speaker, and is therefore closer to 'they' than 'we' (i.e., those members of this group who...). The person who uttered the words in the original post could be a non-smoker.
Context is always important; labelling is rarely important.
I understand both your and The Parser's points, but my immediate inference reading the statement was that it does include the speaker and I suspect that most listeners/readers would infer the same. But if it was not intended to include the speaker, I think it should be "Those of you who smoke should have your....."