From this Secular Right thread:
When we say that we are “thinking about a non-existent thing”, this is a conventionalism, a shorthand representation that is literally inaccurate but that represents the truth that is too long and unwieldly for us to bother stating.
Sadly, some people mistake the map for the territory, the symbol for the truth.
What we are actually doing is thinking about the concept of some particular non-existent thing. That concept exists, it is part of the natural world. A non-existent concept could not be thought about. The concept of a non-existent concept, however, does exist – and so I can manipulate it in my mind to produce the conclusion that the subject of the concept could not be thought about.
Our thoughts are part of the natural world, and their contents are part of the natural world. The natural world is, by definition, all-encompassing. It is all-encompassing because we do not believe we possess absolute knowledge. The idea of the natural as a limited set known precisely is a byproduct of medieval thinking, a prejudical tendency to treat belief as fact and the familiar as absolute. Only when the category of the natural is a closed set can things outside it be considered supernatural.