In French, "fatalité" is used to translate the English word "fate" (Larousse). So, saying:

Il y a des milliers de fatalités sur les routes.

would not convey the same meaning as using "fatalities" in English. You would use the word "décès" or "morts."
A common way of being a little less explicit when talking about death is to say "accidents mortels," referring to the accident rather than the person (note that in that case, the total number of deaths could differ from the number of accidents, so use this phrase carefully).

Another suggestion:

Chaque année, il y a des milliers de vies brisées sur les routes.

However, that generally also includes people who survived accidents but whose destiny has been broken because of them.