Sorry for bad english
I need to use different theme for different module. Is that possible?

I need to use other theme for module News.

Yes, it is possible! Just use Theme Changer. It's GREAT! It works exactly as you have described.

Make sure you follow the install instructions.

Basically:

1) Install the module as normal.
2) Find the "z_changeable_theme" theme and load it into your themes folder.
3) Set the "z_changeable_theme" as your default theme in your General Preferences.
4) Set your default and alternate themes using the Theme Changer admin interface!

Best of luck to you!