I think for is more appropriate here because this usage fits the definition:
used as a function word to indicate an actual or implied enumeration or selection
In this case, you are selecting Thursday as the exception. If you want to use on, it might be better to rephrase your statement as "I am available on Mondays, Tuesdays, Wednesdays, and Fridays," which fits this definition:
used as a function word to indicate a time frame during which something takes place
The difference is slight and I doubt anyone but a pedant would fault you for using either one. As micsthepic mentioned, another option would be to omit the preposition entirely.