The rest of the world would prefer you to think about driving a car when you drive a car.
When you're walking, OTOH, thinking about anything is OK. (The only person you'll kill by doing that unthinkingly is you.)
God, Americans are weird.
I used them as synonyms because I assumed the GP meant "thinking" as in thinking with concentration about some specific issue(s), which tends to divert your attention from your surroundings far more than the idle stream-of-consciousness / daydreams we all have going in the back of our heads all the time. Didn't you?
Should probably have said "When you're driving, the rest of the world would prefer you to concentrate on your driving and your surroundings, traffic, pedestrians etc. Deep actual thinking is far better done while walking than while driving."
But that wouldn't have made for a snappy turn-his-own-words-against-him comeback. :-)
It's fine if you walk you can think about anything, but if you drive a car you waste your time.