Yes, it's a camera.
Can you build your own video camera? If not, you certainly won't be able to build a thermal imager which is the same thing, but harder in design aand with harder to find components (already hard to find for a DIY video camera).
So basically, no you can't DIY (they cost $10,000 for a reason).
BUT, those images you provided look more like an infrared camera to me...notice how you can see the plaid pattern on the guy's shirt? Thermal imagers can't see stuff like that...only temperature. Infrared cameras can. Infrared would also make more sense since that does not look like a $10,000 device.
Do you mean infrared or thermal camera? There is a difference (infrared being a low-light, night vision type camera that gives normal-looking black and white images. Thermal imager being the cameras that give you vision like from the movie Predator, with red, blue, black, white, and other colours based on heat intensity.).
Thermal cameras use a CCD-type element just like digital cameras, except these are responsive to very low energy, very long wavelengths (radiated heat). More sensitive systems require cryogenic cooling so they can be more sensitive because thermal noise in the circuits can be high enough to destroy the equipment's ability to pick up the low signal levels of thermal radiation.
Either way, you probably can't build your own video camera, infrared or thermal. Just get a regular low-light security designed for infrared and use a infrared filter to filter out visible light to get only infrared images.