My fan heater with thermostat stops running after some 3 or 4 minutes?

I have a simple fan heater with a thermostat (Philips HD 3268/A). It has three fixed settings, cold air (only fan), at 500W and 1000W.
Then it has a dial with a continuous scale where you can set the thermostat to any temperature you want.
It runs OK in cold air and in 500W setting, but in thermostat and 1000W setting it runs some 3 or 4 minutes and stops. Then you have to turn it off for some 10 minutes and it will run again.
Why does it stop?