They are very similar. The only difference is a slight shade of meaning. "I've never thought about that" probably refers general open-ended area of thought. For example, in answer to a question like, "What will you do when you retire?" "What do you suppose Mars is like." "I've never thought of that" more likely is in response to a specific suggestion or idea. For example, "Did you know that by you could reduce your electric bill by going to bed earlier." Sorry couldn't think of a better example.

Both are the same to me. But I say the first more.

For me the difference is that for the first one it is something you know about but haven't considered in detail, whereas the second one is a new idea you didn't know about. So in the example given by one of the people who answered, you know the moon exists but you haven't thought about (although this more 'imagined') living or travelling there. If you keep losing your keys someone might suggest you always put them by the door as soon as you enter your house 'I never thought of that'. This is common for solutions to problems.