Why is smoke coming out of a heating system from the outside?

If it is white "smoke" then it is probably not smoke at all but only water vapour that is being cooled as it enters the cold air outside the house. It is nothing to worry about as long the heating system is working normally and also as long as you are having the heating system serviced every year by a licensed HVAC (Heating, Ventilation and Air Conditioning) engineer.

Black or blue smoke coming out is another matter altogether and could indicate a dangerous fault in the system. If you see that kind of smoke coming out it is time to call a licensed HVAC engineer to inspect the system and advise you what should be done.