AxesStyle modifies the Cartesian axes, not the polar ones:
PolarPlot[θ, {θ, 0, 4 Pi}, AxesStyle -> {Directive[Thick, Blue], Directive[16, Orange]} ]

I could not find a built-in way to modify the polar axes, so after taking a look at the structure of the Graphics object generated by PolarPlot, I came up with the following helper function that modifies the graphics primitives corresponding to axes, ticks, and labels on the polar axes.
By default:
- If these features are not present, nothing happens to the plot even if options were selected;
- If no options are specified, then the defaults output by
PolarPlot will be left alone.
This is colorPolarAxes:
Clear[colorPolarAxes] Options[colorPolarAxes] = {PolarAxesStyle -> {}, PolarLabelsStyle -> {}, PolarTicksStyle -> {}}; colorPolarAxes[plot_Graphics, OptionsPattern[]] := ReplaceAll[plot, { Text[Style[lbl__, {}], pos__] :> Text[Style[lbl, OptionValue[PolarLabelsStyle]], pos], Style[Line[def__], {}] :> Style[Line[def], OptionValue[PolarTicksStyle]], Circle[options__] :> Style[Circle[options], OptionValue[PolarAxesStyle]] } ]
Here is an example of its use:
colorPolarAxes[ PolarPlot[θ, {θ, 0, 4 Pi}, PolarAxes -> Automatic, PolarTicks -> {"Degrees", None}], PolarAxesStyle -> Orange, PolarLabelsStyle -> {Darker@Green, 14, Italic}, PolarTicksStyle -> {Blue, Thick} ]

PolarPlot[θ, {θ, 0, 3 π}, BaseStyle -> Red, PolarAxes -> True]$\endgroup$