Many current smokers incorrectly believe that menthol cigarettes are less harmful, likely due to the biological and sensory effects of menthol, which can lead smokers to have favourable sensory experiences. In this study, we measured the extent to which Australian smokers associate certain sensory experiences with smoking menthol and non-menthol cigarettes, and their beliefs about how damaging and enjoyable they find cigarettes with each of these sensory experiences. A sample of 999 Australian 18–69-year-old weekly smokers was recruited from a non-probability online panel; this study focuses on the 245 respondents who currently smoked menthol cigarettes at least once per week. Current menthol smokers were four to nine times more likely to experience menthol rather than non-menthol cigarettes as having favourable sensory experiences, including feeling smooth, being soothing on the throat, fresh-tasting and clean-feeling. Menthol smokers perceived cigarettes with these favourable sensations as less damaging and more enjoyable than cigarettes with the opposite more aversive sensory experience. Efforts to correct these misperceptions about risk will likely require messages that provide new information to help smokers understand that these sensations do not indicate a lower level of risk. Banning menthol in tobacco products—as has recently been done in some nations—would also be a timely and justified strategy for protecting consumers.