So it is using coolant? As in the light comes on and stays on until you add more?
If you are using coolant, and it is going into the exhaust, there are only 2 main ways it can happen.
#1 the EGR cooler. If you don't have EGR, then this isn't it. You can look and see if you have the cooler. It will be a silver tube toward the passenger side of the engine near the turbo. About the size of two soda cans stacked on top of each other, but laying down.
#2 is a headgasket. Headgasket failures don't necessarily cause overheating or smoke. If coolant is getting into the exhaust, then there is a good chance exhaust is getting into the coolant. You can buy a kit that will "sniff" the coolant and tell you if exhaust is getting in. If so, then it is almost certainly time for a headgasket.
Edit: picture of EGR cooler