A self-drilling wall anchor device comprising: a threaded member having a shank, a head disposed at one end of said shank, an engaging part disposed at the other end of said shank, and a first threaded section as well as a second threaded section spirally disposed on said shank, between said head and said engaging part; wherein, a first diameter of said first threaded section is different from a second diameter of said second threaded section; an outer sleeve made of a plastic material for allowing an penetration of said threaded member; said outer sleeve having a body, a through hole defined in said body for said threaded member to penetrate therethrough, a threaded portion disposed on said body, and an arm section disposed on said body, opposite to said threaded portion; wherein, said body has a first end and a second end defined thereon, said first end and said second end being communicated with said through hole in which a first area with a first area diameter is formed adjacent to said first end, a second area with a second area diameter is connected to said first area, and a third area with a third area diameter is connected to said second area and disposed near said second end; said first area diameter, said second area diameter and said third area diameter being different from each other; said second area diameter being further larger than said first diameter of said first threaded section but smaller than said second diameter of said second threaded section, and said third area diameter being larger than said second diameter of said second threaded section; said threaded portion being disposed near said second end, a peripheral flange being formed between said threaded portion and said second end, and a plurality of slots being defined on said arm section; and a drill element having a drilling member and a bore disposed opposite to said drilling member for combing with said engaging part. a threaded member having a shank, a head disposed at one end of said shank, an engaging part disposed at the other end of said shank, and a first threaded section as well as a second threaded section spirally disposed on said shank, between said head and said engaging part; wherein, a first diameter of said first threaded section is different from a second diameter of said second threaded section; an outer sleeve made of a plastic material for allowing an penetration of said threaded member; said outer sleeve having a body, a through hole defined in said body for said threaded member to penetrate therethrough, a threaded portion disposed on said body, and an arm section disposed on said body, opposite to said threaded portion; wherein, said body has a first end and a second end defined thereon, said first end and said second end being communicated with said through hole in which a first area with a first area diameter is formed adjacent to said first end, a second area with a second area diameter is connected to said first area, and a third area with a third area diameter is connected to said second area and disposed near said second end; said first area diameter, said second area diameter and said third area diameter being different from each other; said second area diameter being further larger than said first diameter of said first threaded section but smaller than said second diameter of said second threaded section, and said third area diameter being larger than said second diameter of said second threaded section; said threaded portion being disposed near said second end, a peripheral flange being formed between said threaded portion and said second end, and a plurality of slots being defined on said arm section; and a drill element having a drilling member and a bore disposed opposite to said drilling member for combing with said engaging part.