Are we dangerous here?

Hi.

I'm a S. Korean who is not very good at English.
I need your help.

Say, a woman is kidnapped, and she happens to call the police and says,
'I'm in danger.'

Here, it wouldn't make sense at all if she said
'I'm dangerous.'

Right?

If you get to encounter a shark under water,
you are not very likely to survive because sharks are very dangerous.
But people keep killing them.
Then, sharks are in danger, right?

Let me show you a clip which makes me confused.

https://www.youtube.com/watch?v=8pWi7Px5yYo

A woman and a man exchanges words.
It begins at around 0:40.

The woman seems to have said,
"Are we dangerous here?"

And the guy replies,
"Oh, yeah, we're dangerous.'

Both seem like native speakers,
and I find it kinda weird.

I figure, under the circumstance, they should've said,
"Is it dangerous here?" or
"Are we in danger here?"

Why on earth did they say 'We are dangerous.' not 'We are in danger'?
Do you, native speakers, find their conversation totally okay?

Please help me clear that out.
Thank you.

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