(Spoilers) After the events of the previous night, Smoke stays behind to kill a group of Klansman who come to lynch anyone at the sawmill (using both World War II weaponry, and a Tommy gun, symbolizing the twins past as WWII vets and Chicago Gangsters). While a refreshing end for the character, there may be a deeper meaning.
In a mid-credit scene, we see Stack and Mary survive and live on (Stack by the mercy of his brother, and Mary by running away before sunrise). Since stack was last seen in the sawmill, we can presume he had to stay there through the day. Perhaps another reason smoke stayed at the sawmill, was because he was warned earlier in the movie that the KKK was coming to kill them the next day, but knew that if he fled, Stack may have turned them into vampires when they entered the barn, and wanted to make sure that he could stop more people from being turned (while also killing a bunch of Klansman)
by kingtaker