Agreed wealth is a confound, however there are several studies that control for socioeconomic status, air conditioning and smoking. These studies still observe a correlation between PM2.5 and increased all-cause mortality primarily driven by increased lung cancer and heart disease mortality. A couple studies linked below control for a few of these confounds, but there are several others too [1,2].
The causal reason is likely the fine particulate matter getting "stuck" in lung tissue and our bodies unable to remove the particles causing accumulative issues on lung function [3].