Put your protagonist in danger and keep him there. This is one of the key elements of a thriller story, especially in the action genre. If nothing is at stake for your main character, readers will quickly lose interest.
Think in terms of a roller coaster when you plot your thriller story. Although you want your protagonist in almost constant danger, there has to be some relief, however brief. If you keep readers on edge without giving them a brief respite, eventually they will become immune to the effect. Plot your thriller with the ups and downs of a roller coaster ride. There's a reason it's called a thrill ride.
Use atmospheric tension to create suspense that makes your readers hold their breath, then follow those scenes with a turn of events that will cause your readers to exhale in relief or gasp in shock.
Give your protagonist a goal, let him reach it, then take it away at the last moment. Anything achieved in a thriller without the thrill of the chase is ineffective. Keep your reader engaged and as invested in the chase as you can. The reader wants the protagonist to succeed, but he wants a protagonist who has the stamina and determination to work for it.
Create a worthy antagonist. Whoever stands in the way of your protagonist is the antagonist. He should challenge your protagonist at every turn. The protagonist should win some too. If your protagonist has no weakness, his strength and courage won't matter.
Dialogue should not overshadow action. Thrillers are action orientated. Thrillers are external rather than internal. Keep the action at the forefront of every scene you write. If you follow these steps, you'll write a heart-pounding thriller that will leave your reader begging for more.