I don't think it sounds very natural. Most native speakers would probably say something more straightforward, such as "I'm not sure" or "I can't make up my mind", or even "I'm in two minds".
If you were to say "I'm on the fence" in an everyday conversation, this might surprise the listener. If your pronunciation and/or intonation isn't perfect, they may well not understand you immediately. (It's worth bearing in mind that most language comprehension depends on what you EXPECT to hear). It would take us a second to decode what you said, and then another moment to recall that 'on the fence' is an idiom meaning reluctance to commit to a decision. If the context is inappropriate (as it often is when learners try to use idioms), it would take us even longer to work out what you were saying. Bear in mind, also, that younger English speakers may well not be aware of this idiom at all.
Colourful idioms - such as 'It's raining cats and dogs' and 'It's not my cup of tea' - make a welcome break from focusing on dull grammar and vocabulary, for students and teachers alike. But that doesn't mean that the idioms are useful or appropriate. It is a myth that using idioms will improve your English or make it sound more advanced or 'native'. In fact, the opposite is the case - inaccurate and inappropriate attempts to use idiomatic language makes learners' English seem worse, not better.
By all means, study idioms and keep them in your passive knowledge. But, as a general rule, learners of English would do well to avoid using them unless (a) their English is advanced and (b) they have actually heard native speakers use these idioms in the appropriate real-life situations.