Most modern candles are made from paraffin wax and this is in turn designed using the petroleum as a major byproduct using gasoline. Some studies found that burning paraffin wax releases potentially dangerous chemicals like Toluene, etc.
Burning the candles release volatile organic compounds and similar particulate matter into the air. As a result, the mixture uses small droplets of liquid and the same can even enter your lungs. This can clearly lead to respiratory issues and heart diseases. Similarly, volatile organic compounds or VOCs are carbon compounds that can easily turn into a gas at normal temperature and these can even turn in from flowers to produce sweet aroma. Some of these can lead to cancer.
It is good to minimize the amount of smoke that you opt to breathe in by placing your candles in a well-ventilated room and keep these away from drafts that can increase the amount of smoke that these releases.