You would have to disconnect the Thunderbolt cable from your MacBook Air. The TBD does not have a power button and only works as a display when connected to a computer. I don't know of any setting to do this.
Bit of a revival, but I've not got a Thunderbolt display (yet, waiting for the updates to get one to accompany my Mac mini) but a simple: Ctrl-Shift-Eject on my iMac puts my display to sleep, can't see why it won't work on a TBD? Like to know if it does?