In this specific usage it is the most straightforward translation. It is very similar to "Nemají důvod se bát." where důvod=reason. You cannot always just pick dictionary equivalents of each word when translating sentences.
This may or may not be helpful to you, and it's sort of a head game. But if you think about the literal translation as "They do not have WHY to fear," it can be easily turned into "They have NO REASON to fear."