There can seem to be a pull in two directions over being pleasant and yet by doing so bringing attention to a niggling question.

If someone wants something you do not wish to offer them, yet they have given you a gift, then if you say thank you for the gift might it be a reminder of that other thing they want!?

Treat the two as independent, separate issues. Two conversations to be had on two different days.

But also consider, it is not always necessary to say thank you. It is just a wonderful thing to do every time it is appropriate.

The real answer is to consider how you will feel. If you are honest with yourself about that, you have the answer!