It's not strictly true that we always use the article before musical instruments, Western or otherwise. In the context of the music business, particularly in American English, it's common to say 'He plays guitar', for example. However, in this case, I would definitely use the article. People outside China may not know what the erhu is, and if you say 'We play erhu' we would presume it is a game - as in, for example, 'We play chess'. If you use the article, though, it makes it very clear that this is a musical instrument. When we hear or see the phrase 'I play the...' followed by an unknown word, we expect that word to be the name of a musical instrument.

Su.Ki is right - you don't HAVE to use 'the' before instruments in the West. People commonly say things like 'I play piano.' Using 'the' is optional and both are correct.