Thermostat is a device to regulate the temperature of a system to a setpoint by switching heating or cooling devices. The example is a household geyser in which a thermostat switches off the heater when the required temperature exceeds, and turns back on when temperature falls below the setpoint.

While thermocouples are the temperature sensors which convert thermal potential difference into volts. A thermocouple can produce current, which means it can be used to drive some process directly.
For example, the power from a thermocouple can activate a valve when a temperature difference arises.
Thermocouple senses only temperature (or heat) difference.