Present participles, by themselves, do not create any time frame. All that the sentence "We are walking" does is to attach "walking" as an adjective to the pronoun "we". That's all it does. It does nothing more. Consider the descriptions of the "present continuous tense" you find in grammar books to be nothing more than helpful guides to the most common possibilities of what it might mean.
What it actually means depends on context. The time could be past, present, or future. Yes, it can even be past. Here's an example. Consider this conversation over the phone at noon on a sunny day. In the morning, Beth took a walk with her family and they plan to see a movie in the afternoon.
Jane: Hi, Beth, what's up? What are you guys doing today?
Beth: Oh, we're playing games, eating, walking around, and going to a movie.
That is a valid use of "walking around" even though the walking part of Beth's day is already finished. On the basis of what Beth said, Jane has no way of knowing whether the walking is in the past, present, or future. All she knows is that the adjective "walking" describes the family in some unspecified way.