I'm a native spanish speaker, from Argentina. "(ellos/ellas/ustedes)creen" could mean both "believe" or "think". But , in this case:
"Ustedes no me creen" only means "You do not believe me"
"Ustedes le creen" only means "You believe him/her"
because, in this sentence, "(ellos/ellas/ustedes)creen" refers to a person ("me"), and that only means "believe" in spanish. This sentence means you are thinking that i lie. It not means you are thinking about me. If we would replace "me" by something (not with a person), now "creen" could means both "believe" or "think". You believe that something is true, or you are thinking about something.
"You do not think of me" means "Ustedes no piensan en mí".
Examples with "creen" and something :
"Ustedes creen eso" means both "You think that" or "You believe that".
"Ustedes creen esto" means both "You think this" or "You believe this".
I don't know if i am perfectly clear to explain, but i hope so. :-)
It should be "you all don't believe me". The all doesn't make sense in english if you put it after don't because it is like you are trying to say a singular person doesn't believe everything you say. However, in this sentence, it is saying a group of people (you all) don't believe me.