ARM and Thumb are just different encodings of the same instructions, mostly. Having switchover be done implictly via branch instructions is convenient for interworking -- you can link an ARM library with a Thumb application and it all just works, with function addresses having the low bit set for Thumb and clear for ARM. Generated code doesn't need to care beyond making sure it is using the right interworking instructions for call and return.

This is distinct from x86 32 vs 64 bit and ARM 32 vs 64 bit: in both those cases there's really a different processor mode with extra registers and so forth, and switchover is correspondingly more involved.