In the European Union, buildings account for 42% of energy use and 35% of greenhouse gas emissions. Since most existing buildings will still be in use by 2050, retrofitting is crucial for emissions reduction. However, current building assessment methods rely mainly on qualitative thermal imaging, which limits data-driven decisions for energy savings. On the other hand, quantitative assessments using finite element analysis (FEA) offer precise insights but require manual CAD design, which is tedious and error-prone. Recent advances in 3D reconstruction, such as Neural Radiance Fields (NeRF) and Gaussian Splatting, enable precise 3D modeling from sparse images but lack clearly defined volumes and the interfaces between them needed for FEA. We propose Thermoxels, a novel voxel-based method able to generate FEA-compatible models, including both geometry and temperature, from a sparse set of RGB and thermal images. Using pairs of RGB and thermal images as input, Thermoxels represents a scene's geometry as a set of voxels comprising color and temperature information. After optimization, a simple process is used to transform Thermoxels' models into tetrahedral meshes compatible with FEA. We demonstrate Thermoxels' capability to generate RGB+Thermal meshes of 3D scenes, surpassing other state-of-the-art methods. To showcase the practical applications of Thermoxels' models, we conduct a simple heat conduction simulation using FEA, achieving convergence from an initial state defined by Thermoxels' thermal reconstruction. Additionally, we compare Thermoxels' image synthesis abilities with current state-of-the-art methods, showing competitive results, and discuss the limitations of existing metrics in assessing mesh quality.