Unmanned aerial vehicles (UAVs) have various advantages, but their practical applications are influenced by their limited energy. Therefore, it is important to manage their power consumption and also important to establish corresponding power consumption models. However, most of existing works either establish theoretical power consumption models for fixed-wing UAVs and single-rotor UAVs, or provide heuristic power consumption models for multi-rotor UAVs without rigorous mathematical derivations. This paper aims to establish theoretical power consumption models for multi-rotor UAVs. To be specific, the closed-form power consumption models for a multi-rotor UAV in three flight statuses, i.e., forward flight, vertical ascent and vertical descent, are derived by leveraging the relationship between single-rotor UAVs and multi-rotor UAVs in terms of power consumptions. On this basis, a generic flight power consumption model for the UAV in a three-dimensional (3-D) scenario is obtained. Extensive experiments are conducted by using DJI M210 and a mobile app made by DJI Mobile SDK in real scenarios, and confirm the correctness and effectiveness of these models; in addition, simulations are performed to further investigate the effect of the rotor numbers on the power consumption for the UAV. The proposed power consumption models not only reveal how the power consumption of multi-rotor UAVs are affected by various factors, but also pave the way for introducing other novel applications.