The term "nothing" was (in the Shakespearean day) a word to represent the female genitalia; a slang for it, if you will. There are many silent references to it in many of Shakespeare's plays. For instance take Act 3, scene two of Hamlet, in Hamlet and Orphelia's dialogue:

HAMLET: I mean, my head upon your lap?

OPHELIA: Ay, my lord.

HAMLET: Do you think I meant country matters?

OPHELIA: I think nothing, my lord.

HAMLET: That's a fair thought to lie between maids' legs.

OPHELIA: What is, my lord?

HAMLET: Nothing.

If you know what the play "Much Ado About Nothing" is actually about, the title is quite a play on words. Mr. Shakespeare certainly was crafy in weaving those references into casual conversation. There are many instances, especially in his many odes, where the reference is quite clear.

With how often it is rumored that men think about sex, it is quite truthful to reply to "What were you thinking about?" with a coy "Oh, nothing."