「関係ない」という表現はいくつかあります。
- have nothing to do with someone
- be none of one's business/concern
- not affect someone
西澤さんが回答されたように、They think を頭につけると自然な言い回しになると思います。
上の3つを使って言うと
- They think they have nothing to do with them.
- They think it's none of their business/concern.
- They think it doesn't affect them.
となります。