The burning number b(G) of a graph G was introduced by Bonato, Janssen, and Roshanbin [Lecture Notes in Computer Science 8882(2014)] to measure the speed of the spread of contagion in a graph. The graph burning problem is NP-complete even for trees. In this paper, we show that the burning number of any theta graph of order n=q2+r with 1≤r≤2q+1 is either q or q+1. Furthermore, we characterize all theta graphs that have burning number q or q+1.