At the scene where it's in what looks to be a small car garage, and Frank Costello is talking/walking towards a young Colin Sullivan. When the camera is slightly behind Costello you can see a cigarette in his mouth, yet when it changes to front view of him coming into some light, the cigarette has disappeared.

You could say he took it out, but if you listen to the dialogue and the timing of the camera change, there's no way he could've took it out that quickly.