I have tried to use transient thermal but the results show that there is no Temperature Gradient in the flow direction. So how can I let the flow temperature change with the flow direction!
If you applied temperature in hollow cylinders, then you won't see any temperature gradient in your simulation, because that temperature will be constant throughout the analysis and doesn't create temperature gradient. The best option as you already thought is performing a single wall heat exchanger simulation in fluent. This way you can simulate it properly.