Small, volant and nocturnal, bats face strong challenges to avoid heat loss. Among aerial insectivores, body mass varies by two orders of magnitude between the smallest and the largest species. At low temperatures, physiological constraints should be harsher for smaller bats, as they lose more heat through their body surface than larger species. So, temperature variations should lead to distinct behavioural responses by bats of different body masses. Also, because they feed on arthropods, dependent on ambient temperature, aerial insectivores should halt feeding at low temperatures. Using ultrasound detectors and temperature and humidity sensors, we investigated how aerial insectivores of the coldest region in austral Brazil respond to nightly temperature variations and compared those responses between guilds of distinct body masses. We predict that smaller bats reduce their activity faster than larger bats, but that foraging should reduce simultaneously in the two guilds, as they depend on ectothermic prey. Bat activity reduced significantly below 12°C. Larger bats maintained their activity at temperatures where the activity of smaller bats had already halted. However, larger bats foraged mostly during the first half of the night, at higher temperatures than those chosen by smaller bats to forage. We associate these differential responses to the thermal convection process, which may increase prey availability at higher altitudes, where larger molossids are known to forage. Smaller species, mostly edge-space hunters, probably take advantage of less variable prey availability during the night, resulting in a more regular behavioural pattern of navigation and foraging.