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In October 2015, Miley Cyrus revealed that not only was Leo puffing on his vape pen at the SNL 40th anniversary bash, but that he wasn't sharing it with anybody. She told Jimmy Fallon, "It was kind of weird. I was sitting there and I was like 20 feet, 15 feet from Leonardo DiCaprio sitting there with his mom. He was hitting a vape pen." Miley continued, "But it wasn’t him that was making me kind of nervous. I was feeling this emotion because there's like a kind of etiquette-cy of when you're there, you've got to pass that sh*t, Leo. And he never did. So that was weird to me. He wasn't passing the vape."
Keep in mind that Leo's vape pen likely had nicotine — and not marijuana — in it, which could explain why he wasn't in a sharing mood.