If there is no problem why are you thinking? The existence of the problem suggests that there is something wrong. Although I don't like the "what's wrong" question it perfectly makes sense.
Sometimes this is the true, other times not. For example, sometimes it's reflection or being a space cadet or just me having not achieved bodhi-level control over my mind.
It's one of those things where there's often nothing wrong until someone asks me "What's wrong?" and then suddenly { bam! } there are two things wrong:
1) apparently my expression is conveying there's something wrong and 2) now my chain of thought is broken (unless what I'm thinking about happens to lend itself to good conversation or it's just not important (admittedly I think about many unimportant things, which some might argue is problematic, but then again, what's really important?)).
