Polyelectrolytes are important to many applications, such as electronics and batteries. In this work, we study the thermal conductivity of polyelectrolytes with different counterions using molecular dynamics (MD) simulations. Both anionic and cationic polyelectrolytes, including poly(acrylic acid) and poly(allylamine hydrogen halide), are investigated. We have simulated a total number of 17 polyelectrolytes with different counterions and we find that all of them have thermal conductivity values between 0.2 and 0.7 W/(m.K). By analyzing thermal conductivity against different counterion descriptors (atomic mass, atomic radius, van der Waals radius and ionic radius), we find a strong negative relationship between thermal conductivity and the ionic radii of counterions. We rationalize such a discovery through analyzing the heat flux at molecular level and find that thermal conductivity shows a general increasing trend with respect to the interatomic non-bonding forces and atomic velocities. We have also found a positive correlation between the MD-calculated thermal conductivity and that from the minimum thermal conductivity model, and this correlation can also be traced back to the same molecular level origin. Our study provides new insights to the heat transfer physics in polymers and may help scientists develop polyelectrolytes with desirable thermal conductivity.