There's certainly nothing wrong with thinking, but when it comes to getting good feedback in many situations it can be the first thing you want to avoid. Here's why.
Photo by Word Boner
Let's say you've just created a new software program and you want to get opinions on its ease of use. You decide to perform what's generally called hallway testing and pull someone uninvolved with the project into your office and ask them to use the software. You sit them down in front of the computer and ask them to use the software, then tell you what they think you could do to improve the user experience. You've just asked them to think, and this is likely going to result in less helpful (or even harmful) feedback.
Why is asking someone what they think a dangerous way to elicit feedback? The primary reason is because you're putting them in a mindset to criticise—which is not the same mindset a real user of your software will have—and you're asking them to seek out problems—something a real user won't be doing when using your product. If you ask someone to let you know what could be better, you're also putting them under pressure to give you a response. This doesn't mean they'll necessarily come up with something bogus just to avoid telling you "I don't know", but often times we'll find something that might be a problem (but isn't, necessarily) and explore it verbally when feedback is requested. In the end, these sorts of questions result in feedback that either isn't helpful or just plain misleading.
What can you do instead? Rather than asking people what they think, tell them a little bit about what you're showing them (no more than you'd find on the not-yet-existant product box) and let them use it. Tell them they can ask you any questions if they have them and allow them to explore. Watch what they do, see what questions come up, and let them do what any new user would do—play with it and see how they feel.
The software example is an easy one, but it applies to creative/artistic fields as well. While a person giving feedback is not going to be able to use a design, picture, or short story, they interact with these things in the same way when it's their first experience. As they experience the work, ask them to record or share any thoughts and questions they have. In many cases it might be best if you don't answer those questions until you've received enough feedback, but you can promise to answer them later. Let them have their own experience with the work, the same way anyone would without you present. In the end, you're going to get better feedback when you let people experience something the way they'd normally experience it (as much as you possibly can), rather than putting them in a different mindset by asking them to think.