My only thought would be the exhaust back pressure valve being partially closed but you say you are getting decent mileage. I don't think anything is wrong. I know when I've had my truck in Denver and higher I can blow thick dark clouds until I'm on top of the turbo, there's less oxygen in the air at altitude. I'm turned up a little though.
Is there a sticker under the hood stating that the vehicle had a cat? If so he may have seen that it doesn't anymore and is just coming up with something to say.
Removal of the cat will allow for quicker spool up of the turbo yielding less smoke.
You could find some biodiesel and see if it will pass the test.