They do. Every one of them feel that way on some level, and about certain aspects of their lives. That doesn't mean that any one teenager will even try tobacco, much less other substances. There are so many ways to feel invincible.
How do I know? I felt that way too. I was so doggone invincible that I was way above being stupid enough to even be around where recreational drugs (including alcohol) were used. I never broke the speed limit or drove crazy. The list is really long. But... all those things that "adults" said about real life... didn't apply to me. *I* could handle things myself. And in reality... I very narrowly avoided major disaster, more than once. Bad enough to scare me. Bad enough that some of those things still give me nightmares. I had to learn - as every young person does - that the rules of life apply to every one of us, including me.
Give yourself another 10 or 20 or 30 years... and you won't see it the same.
But for now... no. You will not believe, because you don't have the perspective that only time and experience bring.
Look at it this way: In this example, I assume you are sober and clean. Would you drive down "main street" at extreme speeds at 3 a.m. (when nobody is around)? What are the chances of something going wrong? (very low) What are the chances of being caught by police? (higher than the chances of something going wrong) If the chances of something going wrong are so slim, why would the police stop you?
... They will stop you, because the consequences of something going wrong in that scenario can be devastating to you and to others.
I treat the use of recreational drugs the same as excessive speed or any other dangerous behavior. There is more to risk than probabilities.