The Law of Buoyancy
Any material or object immersed in a fluid will tend to rise through
the fluid if the fluid density is greater than the material density. The
force associated with buoyancy is the difference between the weight
of the displaced fluid and the weight of the immersed material.

Air is a fluid with a density at ground level of about 1 kg/m³
Anything lighter than air will rise in the atmosphere (like a thermal).
Thermals are less dense than air surrounding them, and
therefore rise.