I still struggle with "ci". I had understood it to mean "there", sometimes, or "us", but can also be used before a transitive verb conjugated in first person plural to make it reflexive "ourselves". In this case, both stiamo and pensando are intransitive, so I would think that "ci" isn't necessary, and it doesn't seem to mean "there", which makes me think it's the accusative "us" ... but this also clearly wrong, since "us" doesn't appear in Duo's translation, so I'm stumped.
In this context, I think 'ci' means 'about it', replacing the thing about which you are thinking, similar to 'en' in French. I too find it confusing that 'ci' has so many different uses. :)
You're right! According to https://en.wiktionary.org/wiki/ci#Italian "ci" can also mean "on it, about it, of it"! I don't think this was ever really explained to me before, except perhaps implicitly. I wonder if remembering that "ci" descends from Latin "look here" and "look there" can help one remember its many uses? Probably not.
Another idiom :) "Pensarci sopra" or "pensarci su" behave like a single verb (a pondering kind of thinking); "ci stiamo pensando" would have been fine as well.