Nous avons peur.
This translates literally as "we have fear".
Here are some other options:
* On a peur. (This is a more informal way to say "we are scared" and is often used in spoken French.)
* Nous sommes effrayés. (This is a more formal way to say "we are scared" and emphasizes the feeling of being frightened.)
* Nous avons peur de... (This is used to say "we are scared of..." and you can add the object of your fear after the preposition "de").
The best option will depend on the context and the level of formality you want to achieve.