The transmission of coronavirus disease‐2019 (COVID‐19) epidemic is a global emergency, which is worsened by the genetic mutations of SARS‐CoV‐2. However, till date, few statistical studies have researched the COVID‐19 spread patterns in terms of the variant cases. Hence, this paper aims to explore the associated risk factors of Delta variant, the most contagious strain of COVID‐19. The study collected the state‐level COVID‐19 Delta variant cases in the United States during a 12‐week period and included potential environmental, socioeconomic, and public prevention factors as independent variables. Instead of regarding the covariate effects as constant, this paper proposes a flexible Bayesian hierarchical model with spatio‐temporally varying coefficients to account for data heterogeneity. The method enables us to cluster the states into distinctive groups based on the temporal trends of the coefficients and simultaneously identify significant risk factors for each cluster. The findings contribute novel insight into the dynamics of covariate effects on the COVID‐19 Delta variant over space and time, which could help the government develop targeted prevention measures for vulnerable regions based on the selected risk factors.