The invention relates to the field of new energy sources and compressed air energy storage, in particular to a compressed air energy storage device with a heating function and a method for operating the compressed air energy storage device. The compressed air energy storage device is characterized in that a pressure vessel is directly connected with a high-pressure air storage tank by a top pipeline; the pressure vessel is connected with a cold water pool by a bottom pipeline via a hydraulic device; the pressure vessel is connected with an external liquid source by the bottom pipeline via a preheater and a liquid shifting pump; a heat exchanger is arranged on the inner upper portion of the pressure vessel, a liquid circulating pump is arranged on the lower portion of the pressure vessel and is connected with an inlet of the heat exchanger by a liquid pipeline, and an outlet of the heat exchanger extends to the lower portion of the pressure vessel via the liquid pipeline. The compressed air energy storage device has an energy storage operating mode and a power generation operating mode. Air can be compressed by the compressed air energy storage device in the energy storage working mode, and heat released in compression procedures can be used for heating; the air is expanded when the compressed air energy storage device is in the power generation working mode, and the compressed air energy storage device can be driven to generate power. The compressed air energy storage device and the method have the advantages that the wind power dissipation and storage capacity can be improved, and heating pressures can be relieved.