Heat olive oil in a large pot over medium-high heat. Cook and stir onion, bell peppers, and celery in hot oil until softened, about 5 minutes. Add sausage, garlic, and cayenne pepper; cook and stir until sausage is hot, 1 to 2 minutes. Stir in corn and bay leaves; season with thyme. Sauté until corn is warmed through, about 1 minute.

Pour broth into the pot; bring to a boil. Reduce heat to medium-low and cook at a simmer for about 30 minutes, stirring occasionally.

Stir in potatoes and heavy cream. Cover and continue cooking at a simmer until potatoes are tender, about 20 minutes.

Season chowder with salt and black pepper. Remove and discard bay leaves. Garnish with cilantro to serve.