This paper introduces a two-scale topology optimization approach by integrating optimized structures with the design of their materials. The optimization aims to find a multifunctional structure composed of homogeneous porous material. Driven by the multi-objective functions, macrostructural stiffness and material thermal conductivity, stiff but lightweight structures composed of thermal insulation materials can be achieved through optimizing the topologies of the macrostructures and their material microstructure simultaneously. For such a two-scale optimization problem, the effective properties of materials derived from the homogenization method are applied to the analysis of macrostructure. Meanwhile, the displacement field of the macrostructure under given boundary conditions is used for the sensitivity analysis of the material microstructure. Then, the bi-directional evolutionary structural optimization (BESO) method is employed to iteratively update the macrostructures and material microstructures by ranking elemental sensitivity numbers at the both scales. Finally, some 2D and 3D numerical examples are presented to demonstrate the effectiveness of the proposed optimization algorithm. A variety of optimal macrostructures and their optimal material microstructures are obtained.