In a large bowl, combine the Greek yogurt, lemon juice, minced garlic, olive oil, ground cumin, paprika, ground coriander, salt, black pepper, and cayenne pepper. Mix well to form the marinade.
Add the chicken thighs to the bowl and coat them thoroughly with the yogurt marinade. Cover the bowl with plastic wrap and refrigerate for at least 1 hour, or up to 8 hours for best flavor.
Preheat the air fryer to 380°F (193°C) for 5 minutes.
Remove the chicken thighs from the marinade, allowing excess marinade to drip off. Place the chicken thighs skin-side down in a single layer in the air fryer basket. Do not overcrowd; cook in batches if necessary.
Cook the chicken thighs in the air fryer at 380°F (193°C) for 10 minutes.
Flip the chicken thighs skin-side up and continue cooking for an additional 8-10 minutes, or until the internal temperature reaches 165°F (74°C) and the skin is crispy and golden brown.
Remove the chicken thighs from the air fryer and let rest for 5 minutes before serving.