Air drilling technology in some cases improves wellbore penetration and stability. The annulus gas temperature is usually regarded to be the same as the formation temperature. However, the gas temperature is greatly influenced by the pressure and in situ viscosity because of its compressibility. JouleThompson expansion and cooling as the gas passes through the bit nozzles causes the gas temperature to differ significantly from that of the formation. In the present paper, a method for calculating pressuretemperature coupling over the whole wellbore is proposed. Radial and tangential thermal stresses are determined considering heat exchange between wellbore fluid and the formation. Then, the wellbore wall stability under the influence of the thermal stresses is analyzed. The calculated wellbore-rock and thermal stresses show that the low temperature in the well bottom causes tensile stresses around the wellbore wall. Therefore, shear stresses in the rock, the effective stress of the wellbore wall, and the collapse pressure decrease, which has a positive effect on the wall stability.