The question is actually more than, "Are you afraid?" It really asks, "Are you afraid to admit that you are afraid?" I think that we have become so conditioned to stating that we are fine, that we don't allow ourselves the freedom to be honest. If we can't be truthful with ourselves, when no one is even watching, then we are holding back.
There have been occasions when I have gone out of my way not to use the word afraid. I may be experiencing fear, but I will not readily use it to describe how I am feeling. Somehow I have come to believe that if I admit to being afraid, then I am opening a door of unbelief, and if there is unbelief present then there must be something lacking in my level of faith.
I want to be able to discern when I am being influenced by a spirit of fear, or when my own flesh is reacting to a situation, or to people. I want to recognize when I need to be watchful of certain circumstances. For instance, if I am standing on the edge of a cliff, I want to have a healthy respect for the potential danger that is close by.
Essentially, I want to speak God's truth in all circumstances. If I am afraid, then my desire is to readily admit this to the Lord, for God knows my heart, and my fears. Then, I stand on God's word, which tells me that with Him I am safe.
2 Timothy 4:18 ESV The Lord will rescue me from every evil deed and bring me safely into His heavenly kingdom. To Him be the glory forever and ever. Amen