This was all a setup, a prank pulled by Letterman's show on Simmons. Letterman pulls pranks on Simmons every time he visits (last time, six years ago, Letterman doused Simmons from a fire extinguisher, which caused Simmons to have a sever asthma attack).

The tray placed under the steamer, which Simmons didn't want there (see how he's saying "I don't know what this is for"), contained a firecracker in it. When Letterman gave a nod to the pyrotechnics backstage, they set off a firecracker (when it started smoking, Simmons realizes he's being pranked and says "Oh, that's why" - i.e. "That's why you put the tray there."

Simmons was a good sport about it, but don't blame his steamer. Blame Letterman for being, in Cher's words, "an asshole."