If something ends in smoke, it produces no concrete or positive result. This expression refers to the boasting by a person, of having put in a lot of efforts by him, for a particular cause or to attain a result which is very difficult to be done by any person. (This mainly refers to an investigation of a crime or solving a serious offence or a mystery). But at the end, when the desired result is not obtained, his claims are found to be false and not worth mentioning. So, he looses his credibility.