It is! There is no “official” translation for this word, and like many, it is used as is.

It is one of those words too new for the Académie Française to provide or invent an official way to translate it.

Wikipedia has a good article on the topic which references fanfiction, the short fanfic and the alternate spelling fan-fiction. It may be too new for the Ac. indeed, but maybe not for the OQLF as they came up with fanafiction (« Fiction écrite par un fanatique d’une série télévisée, d’un film ou d’un livre donnés, qui en reprend les personnages et l’univers, de façon à créer sa propre histoire. », GDT), which is basically the same thing but just more in line with the word fanatique in French instead of the loan from the short form for fanatic in English (i.e. fan). Take your pick!