I was in London for a work trip last winter, and noticed a large number of cyclists (and perhaps even the majority of those not riding bikeshare bikes) using anti-pollution masks. They are available through normal UK retailers like Wiggle, as well as a bunch of other places. If I lived in a place with consistently bad air, I would not hesitate to get one.
I've done some cycling in bad air in urban areas, and could feel the difference later in the day and into the next. Fortunately, the worst we get in my area - I ride in western WI and southeast MN - is a few days of smoke from the Canadian wildfires.