Particles with collisions still passing through

I'm trying to make a smoky area, and prevent particles from getting out of the room.

So I checked "Collisions" on my particle system, and it's better, but there are still some particles passing through.

The particles rate is 2000, with a maximum of 5000.

I also set Max Collision Shapes to 5000 and Collision Quality to High butnothing changes.

Here is a screen of the problem :

And my particle system configuration :

I also tried to delete particles from script, but it looks like the collisions functions are only returning the collided object and not the particle itself.

Have you found a way to do this ?

Thanks for your help