They are not equivalent.
Use "my concern is" when expressing a concern you have.
Use "I think" when expressing what you think.
Obviously if you have a concern, you also have a thought about it but they are not always interchangeable.
My concern is that we might run out of gas
works with either (although using my concern is implies that you think running out of gas is a bad thing to have happen, while I think just expresses your belief about the outcome in a neutral manner.)
My concern is that she looks nice in that dress
I think she looks nice in that dress
imply two very different things. The first states that you think something bad might happen because she looks nice in her dress, while the second is simply a compliment.