Thanks for your reply.
I've been messing with both thickness and density this whole week and I couldn't find any paramters that actually emulate the atmospheric fog I'm looking for. Everything looks like there is a permanent fog with the same density everywhere, we can't feel the deepness at all, whatever the parameters. I'm using a 500 meters box with randomly placed boxes to test it.
Here is my scene : https://www.dropbox.com/s/ayl0xmf4vlh6cdt/fog.c4d?dl=0
I'm looking to create something similar to this, where you can feel a close object and a distant object :
Any help would be greatly appreciated