“I believe that any walking at all is better than nothing”
Generally speaking, I agree with you that something is better than nothing, but, consider this scenario:
A person who is walking may be breathing harder/faster than they normally do.
If this causes them to inhale more smoke, more deeply, than they would while sitting in a chair to smoke a cigarette, that act of smoking while walking could be doing more harm than if the person just stayed at home.