Hi Lawrence,
"I am at work" means you are doing work at your place of work. English speakers use it as a shorter way of saying "I am currently working at the place where I work at." It lets the listener know that you are busy doing what you have to do at the place you have to be at.
Am I confusing you? Please let me know if I am =)
EDIT: @Jessica - Great minds think alike haha =D