When someone wants to talk about a day of the week that's coming soon, they can say "this Thursday", "this Monday", etc.
I'm going out of town this Thursday for business.
Usually we only say "this ___" about a day of the week that's 5 days or less away. So if today is Tuesday, it might be confusing to talk about "this Monday" or "this Tuesday". Listeners might wonder if you're talking about the future, the past, or the present.