Without realizing it, we think in the language we know[1]. When starting to learn another language, we still think in our native language and translate it to the foreign one.
However, when reaching a higher experience with a second/third language, the thought process gradually changes. My native language is French, but very often I have thoughts "in English", because the idea seems easier to express/understand with the way English works. Sometimes, the words don't exist in French to express the idea I'm thinking, while it exists in English.
I've read somewhere (citation needed) that at some point, one would stop thinking in language and start thinking in concept.