这是一句典型的中国学生学英语犯的错误,正确句子应该是
But they are afraid that you are not happy.
但他们担心你会不开心（高兴）.
be afraid of后面不能接you are not happy这样的从句的,而一定接一个名词
I am afraid of snakes.
我怕蛇.