There are a great many verbs in English that can be used both with an object and without an object. (I have seen these verbs described as "ambitransitive")
For example: "I ate" and "I ate an apple".
The verb eat can be intransitive or transitive. In the intrasitive form, the thing that you ate is unexpressed (but may be implied by context). "I smoke" is an example of this, since (without any other context), the implied object is "tobacco".
Not all verbs function like this, but English is quite lax about enforcing the number of objects. "I stole" is odd. Normally an object is used (But note the example in the bible "You shall not steal.") But the sentence is understandable. Changing from transitive to intransitive can change the meaning:
He stole through the streets.
This is the minor meaning of "steal": to move quietly and secretly.
There is another class of verbs that can be used with or without an object: the ergative verbs
I closed the door / The door closed.
In ergative verbs, the intranstive form has as subject that is the object of the transitive form.
"Smoke" is interesting in this sense because it can also be used like this:
I smoke cigarettes / The fire smoked.
This ambiguity has been used for visual jokes (A person says "I smoke" while they are actually on fire and producing smoke)
The perfect tense can be used. It has little effect on whether a verb has an object or not. So "I have smoked" is correct, "I have stolen" is correct, but rather odd. You might say "I have committed theft" or something similar.
So the reason that you can say "Have you ever smoked" but not "Have you ever stolen" is that "smoke" is commonly ambitransitive, but "steal" isn't.