However, it's not grammatically complete in French. It needs a noun or verb to follow it, similar to how you would say "I don't know what to do" or "I don't know what to expect" in English.
Here are some examples of how "Je ne sais pas ce à quoi" can be used in a sentence:
* Je ne sais pas ce à quoi m'attendre. (I don't know what to expect.)
* Je ne sais pas ce à quoi ça ressemble. (I don't know what it looks like.)
* Je ne sais pas ce à quoi penser. (I don't know what to think.)
The phrase "ce à quoi" is a bit more formal and can be replaced with "à quoi" in informal settings.