I had the same problem with the low exhaust on my B21, B26 and L45 BosTractor. I had the dealer re-rout the exhaust on the B21 up to roof level and was about to put a stack on my B26 after seeing the job 4shorts had done but then I traded the B26 for an L45. If you search for L45 and exhaust stack you will see photos of how I added a stack to my L45. I breath much easier now and the whole thing cost me about $200 plus some labour on my part. I do not think out the rear is a good idea - go vertical!
Here are the photos I couldn't add from my phone in an earlier post:
Cost me nearly nothing (cost of a 90 elbow and a clamp). I just cut the bracket on the elbow, re-welded it at a 45 degree angle, mounted the stack aimed downwards and added the extra elbow to aim the exhaust outward. Only time exhaust is an issue now is when I pull up to my garage, so I try to always pull up facing the other direction or head on.
Remember, it's your tractor, cut and re-weld at your leisure.
Are you sure it's running properly? If it seems to be I'd just reroute as the others have mentioned and problem solved. There's no need in having to breath something that bothers you. I haven't heard any complaints about exhaust fumes from the L3940. If it was my son would be the first to complain.
I'm very sensitive to exhaust fumes and took a little Kubota with the exhaust down in front for a test drive and could smell it in the cab. Bought the m7040 with an exhaust up high. Our old MF165 had the low exhaust behind the driver's seat and it was too toxic for me to be on if there was no wind. Older diesel engines are the worst...
If you have a shop that's handy fabricating things you could get them to fab up a vertical exhaust. I did it and works perfectly. Just print off the photo's on the official thread I did on the subject and that will give them a direction in which to start. it's a well worth while modification.
On my old B8200, I moved the verticle stack to horizontal(simple unbolt and rotate muffler on flange. I did it because I was hitting branches with the muffler and pipe. It wound up exiting almost at the front of the tractor. I found I liked it better, not only because it no longer snagged branches, but because it moved the fumes forward and down.
As others have asked, is the tractor running correctly, not blowing smoke etc? Maybe you are getting extra/more fumes than normal?
FWIW, I have a neighbor that gets very sick from diesel exhaust fumes. He has no problem around the fuel, but the exhaust would make him very ill. I helped him a couple times a few years ago. He showed me what needed to be done, then got out of the way of the fumes; he could not help. Talking with him, all the trucks, pickups, busses make life on the road awful for him, because of the exhaust.