Nietzsche meant that the act of loving is transparent and needs no proof or claim. Nietzsche believed all knowledge was falsification. He believed that "thought" was always self-serving and came from the ego, sort of like we own our thoughts.He also believed that abstract concepts are objectified by poeple. A good quote supporting his theories is:
"Philosophy always creates the world in its own image; it cannot do otherwise"
Since Nietzche believed all these things, he thought of love as an act and something that cannot be conceptualised or even thought about in a pure and reliable way. That is why he wrote ,"we love someone but we never think of them."