When explaining why he thinks implanting an idea is not possible, Arthur says 'don't think about elephants' to actually make Saito think of them and thus 'insert' an idea into his mind. The line is a reference to the title of a famous cognitive semantics book, 'Don't Think of an Elephant' by George Lakoff. The book describes conceptual framing, the use of certain words to literally insert certain ideas about a subject into the listener's mind in a surreptitious way, e.g. implanting the idea that taxes are a bad thing by using the phrase 'tax relief'.