Cockroaches don't experience fear in the same way humans do, but they do have instinctual behaviors that help them survive. When they run away from humans, it's mainly a response to perceived threats. Their rapid movements and tendency to scurry away quickly are survival strategies to avoid predation.
Their nervous system allows them to react rapidly to danger, and they can sense vibrations and other signals that indicate a threat. So while they might not be "scared" in an emotional sense, they are certainly programmed to flee to avoid danger, including potential harm from humans.