Season the chicken generously with salt and pepper. bowl add together the olive oil, citrus zests and juices, cayenne pepper, and thyme. Transfer marinade into a zip-top plastic bag. Add the chicken and let marinate for 1 to 2 hours in the refrigerator.
Preheat the grill. Remove the chicken from the marinade and let excess drip back into disk. Place chicken on the grill and cook 8 to 10 minutes per side. Grill until fully cooked and serve immediately.