That's correct, N95 masks are only effective against dust/particles! Absolutely no protection against gases of any kind. It actually says so on the box if you buy a package of N95s. There is also some good information on the 3M (manufacturer's) website.

I've talked to a friend of mine, a retired firefighter with some 20 years of experience. Based on what he told me, wearing an N95 only helps against inhaling dust from collapsing buildings and the like. Of course, if that happens you'd still need decent goggles or you will be pretty much blinded by the dust. In any case, an N95 would only guarantee a fair degree of protection for a short period of time, perhaps not more than a few minutes.

If there is thick smoke even a quality military or civilian grade gas mask won't do much. It might keep you safe from toxic fumes for a while but it all depends on the filter/cartridge. Especially in an enclosed area or indoors there may not be enough oxygen left in the air in the first place so the only effective solution would be to wear your own self-contained breathing apparatus. Whether it's practical to keep one as part of your EDC kit is a different quesiton.

So in other words, it's a big crapshoot. It also makes me wonder whether buying a gas mask or respirator makes much sense at all.

I've also found this link pretty informative:
http://www.cdc.gov/niosh/docs/2003-144/