We always thank God, the Father of our Lord Jesus Christ, when we pray for you. Colossians 1:3
Throughout his writings, we see the importance of prayer for Paul. He could pray in times of difficulty, and he could pray in times of joy. Here he demonstrates his thanksgiving in prayer. Paul wanted the people to know that he actually remembered them in prayer, although he had never met them. He was, as we read on, thankful for their faith and growth.
Paul believed in the supremacy of Christ; all things begin with, and are held together by Christ. Therefore, it should be no surprise that Paul begins his demonstration of gratitude with prayers of thanksgiving to God. When we pray for others in brings God into the equation. When we tell others that we thank God for them in our prayers, it makes the thankfulness more powerful.