Should we say "Je lui pense" instead of "Je pense à elle"?

Salut Arash,

In short, the answer is no. The reason is: je lui pense translates to "I think him", not I think of him. In this case, "je pense à elle", penser à always requires a stress pronoun (not the indirect object pronoun, i.e. lui).
***have in one's thoughts) penser à
⇒ What are you thinking? À quoi penses-tu?
to think positive thoughts penser à des choses positives

I hope this helps.
Ron