Evolutionary psychologist Satoshi Kanazawa has this theory, which he calls the Savanna-IQ Interaction Hypothesis. Here's how it goes: intelligence evolved as a way to deal with "evolutionary novelties"--to help humans respond to things in their environment to which they were, as a species, unaccustomed. Thus, smart people are more likely to deal with new things and try them. Those new things seem to include drugs.
Why? Because, as Kanazawa explains, while "the use of opium dates back to about 5,000 years ago ... Other psychoactive drugs are 'chemical' (pharmacological, 17 ); they require modern chemistry to manufacture." Psychoactive drugs, therefore, are evolutionarily pretty new to humans. Which means that smart people, according to the theory, will be more likely to take psychoactive drugs. That's true even if the drugs are bad for them: "[the Hypothesis] does not predict that more intelligent individuals are more likely to engage in healthy and beneficial behavior, only that they are more likely to engage in evolutionarily novel behavior."
Kanazawa even finds a study with support:
Consistent with the prediction of the Hypothesis, the analysis of the National Child Development Study shows that more intelligent children in the United Kingdom are more likely to grow up to consume psychoactive drugs than less intelligent children. ... "Very bright" individuals (with IQs above 125) are roughly three-tenths of a standard deviation more likely to consume psychoactive drugs than "very dull" individuals (with IQs below 75).
If that pattern holds across societies, then it runs directly counter to a lot of our preconceived notions about both intelligence and drug use:
People--scientists and civilians alike--often associate intelligence with positive life outcomes. The fact that more intelligent individuals are more likely to consume alcohol, tobacco, and psychoactive drugs tampers this universally positive view of intelligence and intelligent individuals. Intelligent people don't always do the right thing, only the evolutionarily novel thing.
Illustration via digitalbob8's Flickr