Correct answer: you should never smoke when oxygen is in use.
Explanation: Although oxygen is a gas which doesn't catch fire. But an environment rich in oxygen can easily cause burning of other substances which catch fire quickly. Therefore, doctors suggest that the patient should put off the oxygen mask away for few minutes while he/she is smoking.
Also, since the patients on oxygen already have some sort of respiratory or heart diseases, such patients can worsen the condition by smoking.