A negative pressure massage device with cold feeling mechanism and a massage stick thereof are provided. The massage stick includes a stick body and a refrigeration module. The stick body includes a cover assembly, an end cover connected to the cover assembly, and a temperature transmitting member. The end cover includes a negative pressure connection hole. The temperature transmission member includes a suction port. The stick body further includes an air pipe communicates with the negative pressure connection hole and the suction port. The refrigeration module arranged inside of the stick body. The refrigeration module including a thermoelectric cooling chip and a heat sink. The thermoelectric cooling chip including a cold end and a hot end. The cold end attached to the temperature transmitting member. The hot end thermally contacts with the heat sink.