Here's why:
* Head Gasket Leak: A blown head gasket allows coolant to mix with the combustion process. Normally, this would result in white smoke from the exhaust. However, if the leak is relatively minor and *primarily* affecting one cylinder bank, the combustion process might partially burn off the coolant before it reaches the exhaust. The catalytic converter, being downstream, might then be where the unburned coolant vaporizes and shows as white smoke – it's acting as a heat source to create visible steam. The relatively small volume of coolant getting past might not produce significant smoke in the engine or tailpipe before reaching the extremely hot cat.
* Milky Oil: Coolant leaking into the cylinders will get past the piston rings and into the crankcase, mixing with the engine oil, creating the characteristic milky appearance.
* Antifreeze Consumption: This directly supports the coolant leak theory.
Why not from the engine or tailpipe? A small, localized head gasket leak, particularly one on only one side of the engine (less common but possible), might not produce enough white smoke from the exhaust to be easily noticeable before the catalytic converter heats and vaporizes the remaining coolant. The hot catalyst essentially amplifies the visible steam.
Important Note: This is a serious problem. Driving with a blown head gasket can lead to catastrophic engine damage. It needs immediate professional attention. Ignoring it risks a complete engine failure and expensive repairs. Get your car inspected by a qualified mechanic as soon as possible.