A possible translation is: "Di chi pensi che io stia parlando?", which is grammatically correct.
Nonetheless , if it's clear that it's me who is talking, the following would sound more natural:
"Di chi pensi che stia parlando?"
"Di chi pensi stia parlando?"
In fact, out of context the previous two lines could both mean "Who do you think I'm talking about" or "Who do you think he/she/it is talking about".