There is something called "exercise induced asthma" which is brought on by exercising. Often people for whom exercise is a trigger will use an inhaler like albuterol prior to exercise to help prevent bronchospasm. Some people have asthma attacks brought on by cold air or even laughter. That's a big one for me. I have to be careful not to laugh too hard/too long or I will have an asthma attack. Sounds ridiculous I know, but it's true.
You should mention it to your doctor. She can help determine if it's due to your lungs healing from smoking, just the regular struggle of getting into better shape, or if it is the asthma.