As various commentors have pointed out, there's nothing wrong with either sentence, at least grammatically. And since the OP didn't include any information about language background or education, we have no idea what kind of notions they have that might cause the reported reaction. So the following is mere speculation.
Everybody knows the phrase thank you; it's in Lesson One for non-native speakers, and it's drilled into native speakers as soon as they can talk. But it's not really meant to do anything except express the speaker's gratitude to the addressee.
- Thank you for sending me such a lovely birthday card.
- Thank you for the loan; I'll pay you back next week.
- Thank you for a lovely evening.
However, there are limits to what we can thank people for. For instance, the following is odd:
- Thank you for the sunrise, Bill.
Bill is not responsible for the sunrise. Nevertheless, one can think of situations in which this could be used. What kind of situation?
What it takes to make this sentence meaningful is some sense of gratitude on the part of the speaker, expressed to an addressee who has done something on purpose for which the speaker feels (and wishes to express) gratitude.
In other words, if Bill got up early and drove me up to Lookout Ridge so we could watch the sunrise together, it would be appropriate to thank him. Even though he didn't arrange for the sunrise, he did something to bring about the situation, and he did it on purpose.
Back to the original sentence:
Thank you for wanting to go with me.
Want is a non-volitional verb, almost by definition; i.e, you can't want something on purpose. What we want is what we want, and that's simply a fact. Consequently, some people may feel that thanking someone for such an involuntary state of affairs is somehow wrong.
One does notice, I think, that there's something odd about the sentence. But this is all speculation, as I said.