It's seems that they did not think of it.
After they get rid of Umbridge, Grawp, and the Centaurs, Harry and Hermione discuss what to do:
“Smart plan,” he spat at Hermione, keen to release some of his fury. “Really smart plan. Where do we go from here?”
“We need to get back up to the castle,” said Hermione faintly.
There is no mention of what they would do once back in the castle, but there is also no mention of trying Umbridge's fire.
When Ron, Neville, Ginny, and Luna join them, they discuss it again:
“Yes,” said Harry, as his scar gave another painful prickle, “and I’m sure Sirius is still alive, but I can’t see how we’re going to get there to help him.”
They all fell silent, looking rather scared. The problem facing them seemed insurmountable.
“Well, we’ll have to fly, won’t we?” said Luna in the closest thing to a matter-of-fact voice Harry had ever heard her use.
They debate how they will be able to fly, and who should come, and then when Harry again says that they don't have a way to get there, Luna again says that they should fly:
“Well, it doesn’t matter anyway,” said Harry frustratedly, “because we still don’t know how to get there —”
“I thought we’d settled that?” said Luna maddeningly. “We’re flying!”
No one offered any suggestions other than flying, and then the Thestrals appeared so there was no need for further planning.
If someone had thought of using Umbridge's fire, presumably he/she would have mentioned it.
If they had thought of it, it might not have been a good idea.
They had just escaped from Umbridge's office. The gang of Slytherins that had been guarding them there were probably still in the area, or had gone to report what had happened. At that point people also may have realized that Umbridge hadn't come back. Her office would possibly have been under intense scrutiny by that point, and waltzing into it, or even anywhere in the castle, would likely have simply gotten the group detained again. So even if someone had thought of using Umbridge's fire, the group might have simply chosen to use the Thestrals in order to avoid the chance of getting caught if they would return to the castle.