In French "quoi" alone would not work in that sentence (even though in English it would). It would make the sentence sound like a question. To avoid that, by adding "ce à quoi" it becomes sort of "that of which he's thinking".
- à quoi penses-tu? (notice that even in the question, there is this "weird" but necessary à)
- Les vacances, la mer... oui, c'est ce à quoi je pense....
- Non, ce à quoi tu penses c'est le bar à volonté sur la plage !