Because combustion is a chemical reaction that rips apart the chemical compounds in the gas and turns them into other compounds. Natural gas on its own doesn’t smell. Since this would be hazardous if there were a gas leak, gas companies add odorant chemicals like [methyl mercaptan](https://en.m.wikipedia.org/wiki/Methanethiol) to give the gas a distinct unpleasant odor that makes leak detection easy. Since methyl mercaptan is itself a flammable gas, it burns up and is chemically destroyed with the natural gas.
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