The most common and most likely answer to this crossword clue is the 11 letter word PREOCCUPIED
I've seen this crossword clue in The Daily Telegraph
P
R
E
O
C
C
U
P
I
E
D
Buddy explains!

The straight part
We know that "Deep in thought" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case deep in thought = preoccupied.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.
What does PREOCCUPIED mean?
PREOCCUPIED adjective- Concerned with something else; distracted; giving one's attention elsewhere.
- Describing a scientific name that was previously used, a junior homonym.
- To distract; to occupy or draw attention elsewhere.
- To occupy or take possession of beforehand.