- А вы куда ИДЁТЕ?
- А мы ИДЁМ or can we use ЕДЕМ домой.
As Dmitry said, mostly you can't, because if a person is using "идёте" in the question, probably he/she can see they're walking on foot.
"едем" can be in the reply maybe if two people are talking on the phone, and the first person thinks they are going somewhere on foot or going to some event like the cinema or theatre, but actually they are driving home.
Oh! And using "A" in the reply is not very natural. "A" is used mostly 1) to add something different from what was said (the things should be comparable):
- Я учусь в школе.
- А я в университете.
2) To start a sentence, to draw attention in colloquial Russian.
- А ты не знаешь, где все ложки? [Hey], do you know where all the spoons are?
The first sentence with "A" is okay, but two sentences in a row starting with "A" sounds a little unnatural and maybe funny, so it will be
- А вы куда ИДЁТЕ?
- Мы ИДЁМ домой.
or
- А вы куда ИДЁТЕ?
- Мы ЕДЕМ домой. though the situation for this part of the conversation should be really particular.
And this is possible:
- А вы куда ИДЁТЕ?
- Мы ИДЁМ домой.
- А мы в кафе.
but:
- А вы куда ИДЁТЕ?
- Мы ИДЁМ домой. А вы?
- Мы - в кафе.