"They are few" is grammatically correct.
However, it is not something most people would say in everyday speech. I think it is best used if you are trying to sound poetic or dramatic, or in academic writings.
I did a Google search on the phrase "they are few" and the most common use was people quoting part of a poem written in 1819 by the English poet Percy Bysshe Shelley. The original line was "Ye are many -- they are few." People like to change the quote to , "We are many, they are few" and use it to motivate a large group of people who are protesting for a cause.
A somewhat common phrase is "they are few and far between", which means that something is rare or does not happen very often. For example, "It is true that some people become millionaire's without ever graduating from high school, but they are few and far between."
Other than that, "they are few" won't be something that you will hear or see a lot...except maybe occasionally in an academic paper or a newspaper article they will say, "they are few" or "they are few in number..."