Oxford Learner's Dictionaries:
used as a polite way of telling somebody something that is unpleasant or disappointing, or that you are sorry about
I can't help you, I'm afraid.
I'm afraid we can't come.
I'm afraid that it's not finished yet.
He's no better, I'm afraid to say.
‘Is there any left?’ ‘I'm afraid not.’
‘Will it hurt?’ ‘I'm afraid so.’