When Sherlock blocks the chimney in Lord Coward's office in order to hide in the smoke, he decides to continue talking to Lord Coward who could have simply spotted the origin of the sound and shoot him.
Why didn't it happened so?
The main reason is that he had not spotted that the open window gave Holmes an escape route and was therefore not in any kind of rush.
Voices tend to echo slightly in rooms and the smoke was disorientating. Too many gun shots would have raised attention which might cause issues so he wanted to wait until he was sure he had a clean shot. It was only a matter of time before the smoke dispersed, so why not wait?