Probably they do think on some level, but not abstract thought beyond very simple if-then situations. My cat Althea knows that if she sits quietly while I'm preparing food, then she will get a treat. And she can differentiate between me (with whom she interacts) and my roommate (with whom she doesn't). But I don't think she has a sense of self in the way humans do. There are times she seems surprised to discover there's a tail attached to her.