I agree with Ben's line of reasoning... If I say to someone, or if someone says to me "I was thinking about taking tennis lessons," there is implied hesitation in that comment. The same would be true if the speaker said "I have been thinking about taking tennis lessons." However, if I hear someone say "I am thinking about taking tennis lessons," I will perceive it as something the speaker is inclined to do, unless the speaker negates the comment with an additional statement.

My guess would be that probably it is so because they're not thinking about it anymore, or they're hesitant and they're not sure whether they're still thinking about it or it's just all over.

I agree totally with what the others have said but thought I would add this too. :) A lot of times in conversation someone might say, "Ya know, I have been thinking about taking tennis lessons." The other person might respond with, " O my, I was just thinking about that too." In this case we add the just and using past continuous to show that you can't believe you were both thinking of similar ideas at similar times. Even if I am still thinking about it I might would still use it because I was to emphasize that we both just started thinking about it together. It would be just as common to say, "O my, I am thinking of the very same thing." But mostly, I still think what the guys said, that you are letting someone know you were thinking but now you currently are. "O, I was thinking about playing tennis but with my bad knee...I just don't think I could do it." Let me know if you ever have any other questions. :)