Aashpreet, 

the 2 links below are the lessons you should look at to understand the use of  the restrictive ( negation ) “ ne …que “ in French. They are placed in A2 and B1 level, so you probably have not come across them yet.

If you read through the Q and A in the links you will find further discussion of the uses of ‘ ne … que ‘, explaining the importance in French of placing ‘ que ‘ immediately before the word being restricted, and how that differs from current, everyday English usage of ‘ only ‘.  

In your latter sentence ‘ … think that (something previously known/mentioned) about yourself,   ‘ that ‘ is a demonstrative pronoun, not a relative pronoun or conjunction. It would need to be translated in French with  ‘ ça ‘ or ‘ cela ‘. 

Also the verb form would be ‘ penser ( ça/cela ) de … ‘, not ‘ penser à ‘.

It is not an example of  ‘ penser que ‘ followed by a relative clause. 

  Using restrictive ne … que to express only with simple tenses (French Negations)

Using restrictive ne … que to express only with compound tenses (French Negations) 

 https://www.wordreference.com/enfr/that

 Que = Whom/which/that (French Relative Pronouns) 

Ça = that/this/it (French Demonstrative Pronouns)

https://www.lawlessfrench.com/grammar/penser-lesson/

Beautifully explained Maarten! Thank you so much!!