Your guess that gases are also an issue is correct. For example, ground-level ozone and sulfur dioxide typically also have negative effects on the respiratory system. In the U.S., the Air Quality Index (AQI) is computed from five components: ground-level ozone, particulate matter, carbon monoxide, sulfur dioxide, and nitrogen dioxide. Of those, particulate matter is the one that's easy to do something about in a DIY fashion, since it can be filtered indoors with relatively low-tech filters. So it's worth doing if you live in an area with poor air quality, even if it's only a partial amelioration.

As far as I know, there is no practical way of filtering out the other AQI-component pollutants using consumer-level technology. It's possible to filter them: power plant chimneys have devices called "scrubbers" attached that filter out things like SO2 [1]. But I don't think there exists a device you can place in your living room that does so.

[1] http://en.wikipedia.org/wiki/Flue-gas_desulfurization