Here are the definitions of each and respective from the Cambridge Dictionary:
each: every thing, person, etc. in a group of two or more, considered separately
respective: relating or belonging to each of the separate people or things you have just mentioned
Note that in the definition of each I have highlighted the words considered separately. Each is therefore perfectly sufficient to indicate that there is a separate temperature for each room.
You say that the other axis of the graph may be the room number. If it is, respective is just about possible, but each is still the better option. Respective is used to assign values in one list to names in another list, when both the names and values are in the text, for example:
For USA, Russia and China the respective GDPs are 17.5, 1.6 and 11.2 trillion dollars per year.
This associates USA with 17.5, Russia with 1.6 and China with 11.2.
For a graph, it would be much better to put labels on the graph (room numbers or whatever you choose) rather than trying to explain in the text.