Smoke pipe with volatile fuel (4)
I believe the answer is:
flue
'smoke pipe' is the definition.
(I've seen this in another clue)
'volatile fuel' is the wordplay.
'volatile' indicates an anagram.
'fuel' with letters rearranged gives 'FLUE'.
'with' is the link.
(Other definitions for flue that I've seen before include "Duct for smoke/gases" , "Smoke duct" , "Chimney channel" , "Fume vent" , "Chimney pipe to draw off smoke" .)