Is the bank account you have in France receiving income and paying interest on the savings, what is the address on the bank account?
What is the address the pension payer has on record for you.
Is it a govt pension or a private pension?
The income arising in France (pension and interest), taxes should be paid in France unless you show that you are paying tax in the other country on those income streams and then you claim a rebate on the French tax form.
I think you need to read the French tax website how French non residents income is taxed and how to break tax residence with the country and the double taxation agreement between France, UK and Thailand.