Not sure if this question is on-topic. It's really about symantics; what that sentence is meant to represent. And that sentence is similar to other lines in films that seem to mean something but in fact are meaningless.
What does it mean in The Matrix universe, specifically? i.e. What was it meant to suggest?
Well in English, if we "think" something is true, it implies we don't know for sure. "I think it's true" is inherently an unsure statement. In the Matrix, you have to be 100% sure of yourself and your abilities, you must know it's true; there must be no doubt. I don't think Neo achieves this state of "knowing" he is The One until the end of the first movie.
When you think about it, it makes sense that it's so black and white; either you've reached this state of realization (like an epiphany), or not. If you're not sure (You "think" you have) then you haven't. It's a binary state, which fits the Matrix as a digital environment. Revelations is a strong theme throughout The Matrix movies.
I’m trying to free your mind, Neo. But I can only show you the door. You’re the one that has to walk through it. You have to let it all go. Fear, doubt, and disbelief. Free your Mind.
-Morpheus