Both. . . and. . . are common. But, contexts where occurs are much more frequent.
somethingmeans "(I'm) thinking of something" or "(I'm) thinking about something". Why is this one less frequent? Because it sounds a little bit more poetic thansomething, which is prosaic.
In contrast, the other form needs a clause: [clause], and means "(I) think that [clause]."
You sometimes see [noun], but this one is an irregular form and I personally avoid it in writing. The corresponding regular form is [noun]. For example, "Do you think we are enemies?" No. ---The more regular form is "I think (that) we are friends."