Although Winston Smith would dearly love nothing more than to bring an end to the Party's tyranny through his subversive activities, he's a realist and knows that he will not succeed in his endeavors. He is a dead man walking, and he knows it.
That's what he means when he says, “We are the dead.” And as the “we” in that statement would imply, he's not just referring to himself; he's also talking about Julia. She, too, is involved in subversive activities; she too is, to all intents and purposes, dead.
Winston may be committed to the destruction of the Party and its iron grip on society, but he's brutally realistic about his and Julia's chances of success. He's acutely aware that, one day, perhaps in the not-too-distant future, he and Julia will be found out by the authorities. And when their subversive activities have been revealed, it's likely that they will end up dead.
That being the case, it's better to regard yourself as already dead and hope against hope that, one day, their brave defiance of a cruel totalitarian regime, may just bear fruit and will stand as a shining example for others to follow. But for now, at least, there is no hope; Winston and Julia are effectively dead.