I give this little anecdote recorded by Watson Lyle in his short study of the composer. It is not side-splittingly funny, nor is it now politically correct. But it is fun, and gives a slightly different perspective of a man who was regarded by his audiences as being somewhat cold and distant. The excuse for inclusion in this British Music 'blog' is that the story happened in London and that Rachmaninoff is one of my favourite composers. More from this source over the coming months.
I recall at the moment go right back to the prankishness of boyhood. Two other friends, Mme. Rachmaninoff, Princess Wolkonsky and myself,  awaited him in the artists' room in Queen's Hall  for the usual ten minutes or so: of rest when he came off the platform, before the door at the farther end of the room was unlocked to admit the customary stream of admirers from the audience. Presently, Rachmaninoff appeared at the platform end of the room, after having taken numerous "calls" from the wings, his eyes sparkling, and very well pleased with, his reception. The sounds of applause could still be heard. Someone handed him a cigarette, and I believe the Princess held her lighter to him. At any rate, the cigarette was well alight, when he wheeled round, and walked off again through the short corridor on to the platform. Cries and applause rang out afresh, but he was back again soon with us, having made no attempt, apparently, to play yet one more encore that time.
"But where is your cigarette?" asked his daughter. "Here," he said, giving one wrist an adept twist, like a conjuror bringing something down his sleeve, and sure enough, out flicked the cigarette between his fingers, ready to be re-lit. The whole thing was done in a flash, and so comically, that we all laughed outright. One envisaged the audience, seeing only that stately presence, with the rather solemn, pale face, slowly bowing in acknowledgment of their applause, thinking of the encores he might have up his sleeve, but certainly not including a hastily extinguished cigarette amongst possible favours!
Rachmaninoff: A Biography Watson Lyle William reeves, London 1938 
 Princess Wolkonsky was Irina Sergievna Rakhmaninov, was the eldest child of the composer. She was born on 9 Jun 1903. In 1924 she married Prince Peter Volkonsky in Dresden, Germany. Irina died in New York on 20 June 1969. ‘Myself' refers to Watson Lyle. I can find little out about Watson Lyle, however as well as the present biography he wrote a study of Camille Saint-Saens and seemingly about Arthur Bliss. Rachmaninoff played at the Queen’s Hall on a number of occasions –the first being 6 May 1922 and the final appearance being 11 March 1939.