Multimodal large language models (MLLMs) have emerged as a powerful backbone for multimodal embeddings. Recent methods introduce chain-of-thought (CoT) reasoning into the embedding pipeline to improve retrieval quality, but remain costly in both model size and inference cost. They typically employ separate reasoner and embedder with substantial parameter overhead, and generate CoT indiscriminately for every input. However, we observe that for simple inputs, discriminative embeddings already perform well, and redundant reasoning can even mislead the model, degrading performance. To address these limitations, we propose Think When Needed (TWN), a unified multimodal embedding framework with adaptive reasoning. TWN introduces a dual-LoRA architecture that attaches reasoning and embedding adapters to a shared frozen backbone, detaching gradients at their interface to mitigate gradient conflicts introduced by joint optimization while keeping parameters close to a single model. Building on this, an adaptive think mechanism uses a self-supervised routing gate to decide per input whether to generate CoT, skipping unnecessary reasoning to reduce inference overhead and even improve retrieval quality. We further explore embedding-guided RL to optimize CoT quality beyond supervised training. On the 78 tasks of MMEB-V2, TWN achieves state-of-the-art embedding quality while being substantially more efficient than existing generative methods, requiring only 3-5% additional parameters relative to the backbone and up to 50% fewer reasoning tokens compared to the full generative mode.