To facilitate the numerical simulation of thermal induced strain localization phenomena, an implicit formulation of the coupled thermomechanical generalized interpolation material point (GIMP) method with the Cosserat micro-polar continuum theory is developed. Based on the weak formulations of the equilibrium equation in Cosserat continuum and the heat conduction equation within the framework of GIMP method, the global stiffness and heat conduction matrices are constructed on the background grid assembled from each material point. A staggered incremental procedure with the Newton-Raphson iterative algorithm is developed to solve the discrete coupled equations on the grid nodes. The accuracy and efficiency of the proposed method are demonstrated by several representative numerical examples. The performance of the proposed method regarding the effects of different particle distributions is discussed. The coupling effects of the length scale and background cell size on the strain localization band are also investigated. The supports from National Natural Science Foundation of China (No. 11672062 and 11772082) are gratefully acknowledged.