The decision where to live has far-reaching fitness consequences for animals. In contrast to most other mammals or birds that use sheltered nest sites, female Bechstein's bats frequently switch day roosts during one breeding season, and therefore must often decide where to spend the day. Selecting the right roost is important, because roost quality, e.g. microclimatic condition, influences survival and reproduction in bats. Although thermal factors are very important for the quality of roosts occupied by bats, whether bats base their day roost selection directly on roost temperature has not been tested in the field. Over one summer, we examined and tested the roost choice of 21 individually marked female Myotis bechsteinii living in one maternity colony. In a field experiment, we allowed the bats to choose between relatively warm versus cold bat boxes, while controlling for site preferences. We expected females to exhibit a preference for warm roosts during pregnancy and lactation to accelerate gestation and shorten the period of growth of their young. Roost occupancy over 160 census days reflected significant temperature differences among 89 surveyed roosts (14 tree holes and 75 bat boxes), and preferences changed with the season. Females significantly preferred cold roosts before parturition, whereas post-partum, they significantly favoured warm roosts. Temperature preferences were independent of the roost site, and thus roost selection was based directly on temperature. Boxes with significantly different daytime temperatures did not differ significantly at night. Consequently, bats would have to spend at least 1 day in a new roost to test it. Information transfer among colony members might facilitate knowledge of roost availability. Access to many roosts providing different microclimates is likely to be important for successful reproduction in the endangered Bechstein's bat.