A self-drilling wall anchor device comprises a threaded member having a first threaded section and a second threaded section that provide different diameters, and an outer sleeve having a through hole that provides connective first area, second area, and third area. A second area diameter of the second area is larger than a first diameter of the first threaded section but smaller than a second diameter of the second threaded section. A third area diameter of the third area is larger than the second area diameter of the second area. When the first threaded section and the second threaded section cooperate with the outer sleeve for drilling, the second threaded section blocks the second area and the third area. Arms of the outer sleeve warp and curl out of a gypsum object, not into the gypsum object. The present invention reaches a favorable gripping effect and a preferable anti-retracting performance.