I think you get used to it after some time, and even get, how should I formulate that, "addicted"?
I live in a heavily polluted city -- a couple of chemical plants, a coal power station, and the central heating system burning a few (dozen) tons of coal every day to combat -40°C winters. A lot of my friends/acquaintances (in fact, most of them) have moved to other cities and many of them report having trouble adjusting to less polluted atmosphere: trouble sleeping (after moving within the same timezone), constant headaches, rashes, the list goes on.
Also, you hear a lot of stories of older people (third world definition of "older", i.e. around 60), never having a single complaint about their health, moving to cleaner cities and dying in a couple of weeks of strokes and cardiac arrest.
It sounds like old wive's tale, but not when you hear it for the twentieth time from the relatives of yet another person affected.