A thermal safety device includes a device body with an inlet duct and at least one outlet hole in communication with the atmosphere, a shut-off device mounted in the device body and movable between a closed position and an open position, and a retaining element that keeps the shut-off device in the closed position. The retaining element includes a casing containing a heat sensitive substance configured to expand upon reaching a first predetermined temperature and break the casing and allow the valve to open. A yielding support element provides support for and protects the casing until the temperature reached by the support element is higher than a second predetermined temperature which is higher than the first. The support element is configured to yield upon reaching the second predetermined temperature to place the shut-off device in the open position.