Acharya Prashant explains that fear is essentially a thought and has no independent existence outside of the mind. He illustrates this by pointing out that when one is actively engaged in an action, such as asking a question or jumping into water, fear disappears; it only exists in the anticipation or the thought of the action. Fear is not inherent in objects like snakes or situations, but in the mental images and thoughts we associate with them. He emphasizes that fear is always about the thought that something will be snatched away or lost.