A good question, and one for which he's not sure he has a truthful answer. Fear isn't something a malak is free to feel, or at least not for him, not until recently. Feelings were still distractions, it could make him hesitate in battle, or attempt to disobey orders... he shouldn't even consider such a concept.

And yet, here he is. Is it fear that holds him in place, preventing him from falling? A fear of the unknown, of the consequences that might follow, of freedom, or of loneliness?

Or is it...

"...I don't know." Quietly, uncertainly. His chest aches again. "I'm empty- I have nothing, no memories, no dreams, no ambitions. If I fear this place, it's because I fear losing myself before I can become anything."

Maybe what's scary is just... thinking, hoping that he might have some semblance of self-worth. That Sorey's words of how his life holds value be true.