In recent years, deep learning has been popular in combining with cytopathology diagnosis. Using the whole slide images (WSI) scanned by electronic scanners at clinics, researchers have developed many algorithms to classify the slide (benign or malignant). However, the key area that support the diagnosis result can be relatively small in a thyroid WSI, and only the global label can be acquired, which make the direct use of the strongly supervised learning framework infeasible. What's more, because the clinical diagnosis of the thyroid cells requires the use of visual features in different scales, a generic feature extraction way may not achieve good performance. In this paper, we propose a weakly supervised multi-instance learning framework based on attention mechanism with multi-scale feature fusion (MSF) using convolutional neural network (CNN) for thyroid cytopathological diagnosis. We take each WSI as a bag, each bag contains multiple instances which are the different regions of the WSI, our framework is trained to learn the key area automatically and make the classification. We also propose a feature fusion structure, merge the low-level features into the final feature map and add an instance-level attention module in it, which improves the classification accuracy. Our model is trained and tested on the collected clinical data, reaches the accuracy of 93.2%, which outperforms the other existing methods. We also tested our model on a public histopathology dataset and achieves better result than the state-of-the-art deep multi-instance method.