You're right, it has the meaning of We are in the forest, however not the We are in a park (if a city park is meant, it does work for a big national park). Natuur is that which man sees around himself as not modified by him: walking in the 'free' nature, from vandale "dat wat de mens om zich heen ziet als niet door hem gewijzigd: wandelen in de vrije natuur"
Tricky, we are in nature is not a natural sounding statement in english. I thought 'we are part of nature' was what it meant but seeing Susande's explanation, 'we are in the open' or 'we are in the open air' is more likely to be used in this situation.
I think that is OK, perhaps a bit colloquial? I prefer countryside (although there is another more specific word (platteland) for that) as that is really what Dutch people mean when they talk about being "in de natuur". They could also talk about being in a holiday cottage in de natuur, so that wouldn't be outdoors.
I'm wondering if this Dutch phrase is about as literally translatable as "gezellig"?