Question: I have been reading Atmananda and was perplexed by his statement one can ever think of a gross object. How can this be the case?

My sense is that you’re alluding to Atma Nivritti. Here’s a prakriya that you can undertake to understand what Atmananda is up to in this particular chapter:

*

Objectives, Briefly

1. Prove that there are no independently existing objects whatsoever and wherever. 

2. Therefore, experience advaita (“not-two”); i.e., there’s only Consciousness.

Steps In This Prakriya

S1: See that no thought (e.g., “The color of the floor is brown”) can ever ‘make contact with’ or refer to color-shape-arising (“sight”).

• Draw the general conclusion: no thought can refer to any gross object–to any sight, sound, taste, texture, or smell.

S2: But then can thought ‘make contact with’ or refer to any subtle object?

• Imagine another person. Do so vividly. 
• For the moment, accept the triputi: the thinker, the process of thinking, and the thought-about object.
• Set aside the thinker and ask, “Does this thought (=imagining) ever actually refer to, or ‘come into contact with,’ the imagined object?”
• See clearly that the answer is no.

S3: But since a thought can’t refer to any gross or subtle object, can a thought really be called “a” thought?

• Feel the illusion of intentionality (i.e., the “aboutness”) of thought dissolving.
  • That is, it’s illegitimate to say that thought is “of” or “about” anything.
• In other words, experience, simply, a-referential thought-arising (vritti).
• Indeed, all that’s being experienced is evascent, a-referential thinking-arising-now.

S4: But then what, ultimately, is thinking-arising-now (a question of svarupa or material cause)?

• a) See that thinking-arising-now is appearing TO Consciousness.
• b) See that thinking-arising-now is appearing IN Consciousness.
• c) See that thinking-arising-now is appearing AS (as nothing but) Consciousness.

Therefore, “objectless thought” = Consciousness.

S5: Experience only Consciousness, your True Nature AS “I”–that is to say, as Yourself.