But it is more natural to say "It is Thursday". I agree with the original poster. There are many sentences that Duolingo will want translations in natural English and many where it will want something more literal. Often when, and why, one or the other is required is completely unclear.
I agree with all of the posters here. The problem is the lack of context in the phrase, so it is difficult to guess that this is the translation that Duo wants. Even so, Anglophones would rarely use this translation. If I try to think of a context, one might want to ask for the day of the week in relation to a specific date or event, as in, "Which day of the week is (that)?" However, in such as case, the reply would be, "It is (a) Thursday" or as in Rae's example, "The day [of the concert] is Thursday." Context is needed. I often find Duo's examples are contrived, so try to take them with a 'grain of salt.' The lessons and tests , although sometimes frustrating, are a fun way to become exposed to a language, both visually and aurally, especially when there are no other speakers around.