Well, it makes sense in real-world terms: smoke screens are deliberately thick:
and even natural fogs can be thick enough to completely shroud two or three houses down, let alone over a mile in a deliberately designed smoke.
I've been in the same frustrating situation, and have been torn apart by deck gun fire from within it. The best ways to combat this are to 1) launch a spotter plane if you have one or, if it's on cool down, 2) keep an eye on where the fire is coming from and see if you can't try to guess at where you might be able to aim. Otherwise, there probably isn't any better option than to simply run away from the smoke screen and either lure the destroyer out of it to chase you or return later when their smoke screen is on cool down.
If I remember correctly, I think one of the developers or community people said a while back that destroyers in the real world never instantly shrouded themselves in their own smoke screen but instead required additional maneuvering in order to cover themselves, so they would look into making this true for World of Warships as well via smoke screen mechanic changes.
