Not sure if it's a bug or a feature, but the way aliens are visible after throwing a smoke grenade is a bit inconsistent.

When you normally spot an alien, he will show up till the end of your round. It's not like it can move anywhere during your round, so spotting one and then moving the soldier who spotted it back into cover is a feasible tactic. You can then kill him with a grenade or a sniper elsewhere.

However when you throw a smoke grenade, the visibility of all aliens seems to be recomputed. The ones behind the smoke disappear until someone else re-discovers them. If someone else spots them, then it's possible to target them normally from within the smoke.

I find this a bit inconsistent - the action of throwing a smoke can't make the aliens move during your turn, so they should remain visible and targettable.