Out loud now: say "hello"
Internally now: think the word "hello"
When you said "hello" the sound came from your mouth and reverberated in your head (naturally, you're quite used to this so excuse me pointing out the obvious).
So then when you thought the word wasn't it natural to assume that the thought happened in your head? This is because to think a word you internally replicate the sensation of saying one.
Did the thought though happen in your head?
Isn't it quite possible that as you are so used to hearing spoken words reverberating in your head that you are then tricked into thinking that thoughts arise there too?
If we step onwards here to the weird and speculative we seem to solve the infinite regression problem of your self conscious centre. When philosophers, neuroscientists and the like delve into this tough realm they are truly at loss as to where the self resides. Are they looking in the wrong spot as they are hearing their thoughts in their head?