Injecting CO2 into aquifers at depths greater than 800 m brings CO2 to a supercritical state where its density is large enough to ensure an efficient use of pore space. However, CO2 may not be in thermal equilibrium with the medium when it enters the reservoir because pressure and temperature injection conditions at the wellhead can be diverse and CO2 will not equilibrate with the geothermal gradient if the flow rate is high. This is especially true when injecting liquid, i.e. cold, CO2, which is highly advantageous from the point of view of demanded compression energy. In such case, thermal stress changes will be induced, which will affect rock stability. Coupled thermo-hydro-mechanical simulations of CO2 injection produce a region around the injection well in thermal equilibrium with the injected CO2. Further away, CO2 thermally equilibrates with the medium in an abrupt front. Thermal contraction of the reservoir can lead to shear slip of pre-existing fractures, triggering microseismic events, for large temperature contrasts in stiff rocks, which could enhance injectivity. In contrast, the mechanical stability of the caprock is improved in stress regimes where the maximum principal stress is the vertical.