If we had just been discussing something of feminine gender, why isn't "I think of it" a legitimate answer? Eg if I'd just been talking about my native city, a cidade, and I wanted to say I am thinking of it, wouldn't I say eu penso nela? Not a native Pt speaker, but this doesn't agree with the grammars I've been reading.
In English we use "of", but that doesn't mean that they don't use a different preposition in Portuguese. http://context.reverso.net/translation/portuguese-english/penso
♪ Pensa em mim bem lá no fundo ao dizer "adeus". E vem pra mim, de vez em quando, entre os sonhos teus ♫