"You do not have anything to fear."
Translation:Nemáte se čeho bát.
Něco does mean something. Co literally means "what".
No, you cannot say "nemáte se něčeho bát", it does not make sense. You could say "Nemáte nic, čeho byste se mohli bát." Literally "You have nothing what you could fear.".
"Nemáte se čeho bát." literally means "You do not have what to fear.", but this is not used in English.