Spoiler Alert!

I have my doubts.
Doubts about how it could be real and about what is real and what is not. If you somehow convince yourself about the technicalities, 6 doubts remain.
In ascending order of importance:

1. When he went there for the 2nd time, why did K go there alone?
2. Why were the attendants at the Call Center wearing veils? Symbolic? Of what?
3. When did they cut his fingers?
4. How did he get to the 5th stage?As far as I can remember he only smoked thrice:1st when he went all the way to Africa. 2nd when his friend forced him to. And 3rd in front of the detectives.
5. How did he dream about Siberia before he enrolled into the program?
6. How did K not have any withdrawal symptoms when was forced to quit smoking? He was a chain smoker after all!

Gibberish?

Go. Watch "No Smoking"!

PS: Do let me know if you have other doubts.