Do Chinese say the phrase 10000 thanks?

This phrase is not commonly used in Chinese. You could say it if you wanted to, but it might sound odd. This sounds like a variation on the 'a thousand apologies' that was ascribed to the Arab and Indian nations, but to be honest, I'm not even sure how valid it is in that context.

The Chinese character 万 wan(4) (lit. 10,000) is typically used to refer to 'many', 'myriad', 'various', 'numerous', or even immeasurably huge quantities, not just for a fixed quantity of 10,000. The phrase that uses the character 万 that is closest in meaning may be this:

• 万分感激 wan(4) fen(1) gan(3) ji(1) -->meaning 'deeply grateful'