Preheat oven to 450°F. Rinse radicchio wedges in cold water; gently shake off excess water (do not dry completely). Place radicchio in large bowl. Drizzle with olive oil and sprinkle with thyme, salt, and pepper; toss to coat.
Arrange radicchio wedges, 1 cut side up, on rimmed baking sheet. Roast until wilted, about 12 minutes. Turn over and roast until tender, about 8 minutes longer.
Arrange radicchio on platter, drizzle with balsamic vinegar, and serve.