This is a claim we hear way to often. One would argue that a theory is just a thought process, without any evidence supporting it. I think a lot of the confusion is derived from how we use the word theory in everyday life. You often hear things such as ‘in theory it should work, but experience tells us otherwise’. Also, it is important to understand that there is a big difference between a scientific theory and a ‘normal’ theory.
If we search Wikipedia for the two words, the first sentences explain quite a lot: