Well, the concept of transaction generally suggests some sort of business deal. In such a deal, it is normally understood that one will provide a service or a commodity that is of roughly equal economic value to what is paid.
The typical sort of simply social interaction shares some of the same sorts of expectations. In a social interaction conducted in good faith, it is expected that we will not be lied to (save perhaps for white lies, which are benevolent and so possibly in the spirit of acting in good faith), among other similar expectations of fair conduct. But simply social interactions do not share the expectation of each interaction involving an exchange of goods of roughly equal economic value. Social interactions are sustained because overall the parties involved believe they are in some way overall benefiting each other. But this open, hopeful reciprocity is structurally much looser than the narrow value equivalence of a transaction.
"Thank you" communicates gratitude, which in the most basic sense just indicates appreciation. I don't see anything inherent about it that is at all like a monetary transaction. When I say "thank you", I am recognizing that someone has done something good for me, or has somehow benefitted me, and I am expressing appreciation for it. I am not acknowledging that we had an exchange of some things of equivalent economic or economic-like value.
Does it feel weird when a friend thanks you for coming out to spend his/her birthday with him/her? It does not for me. And if it does not for you, it's worth asking why being thanked in this different context made you think of transactions. Is it not possible that the way it made you feel has more to do with how you feel about this sort of sexual context, than it does about being thanked (which I believe I've shown is often something other than a recognition of a transaction)?