More generally, it's just not true that all scientific work (including physics) is done completely by means of empirical research. See Wikipedia's entry on "Thought experiment" for some good cases[1].
I'm not arguing for or against this particular bit of Nietzsche, but I think HN sometimes overvalues empirical or statistical study above all else.
consequences:In terms of their theoretical consequences, thought experiments generally:
challenge (or even refute) a prevailing theory, often involving the device known as reductio ad absurdum,
Hmm, you could replace device with logical falicy but then it does not say what they thought it did...
Other disciplines are less concerned with Truth (big "T") so much as they're focused on practical lessons on how to live life.
Oops, I forgot: reductionism is the modern dogma. Carry on.
I'm like me, therefore everybody is like me?
If true, that should scare the bejesus out of all of you.