If you have a look at the dictionary there some uses of thought in singular. Of course, in that case you have to refer to a single thought.
But you are not asking:
Don't you have a single thought?
You are asking more general for anything the addressee is thinking about the matter in question. Thus, you are not asking for a single thought.
Do you have any thoughts on this?
So from context you are asking you want the plural. Grammatically you can actually use both, there is nothing in the sentence that suggests that thought has to be singular or plural. Any takes both plural and singular nouns when being a determiner. As you have already found out, the variant with the plural thoughts is much more common.
I am not going into detail about any and the nouns that can follow, as there is already a question regarding that.