We present a novel low-cost and batch fabrication method to fabricate a Fabry-Perot (FP) cavity with a micromechanical wet-etching process, through which FP cavities can be achieved with a cavity length of from several micrometers to tens of micrometers. The parallelism of mirror elements can be well achieved without electrostatic control. The quality of an etched surface can be greatly improved by the oxidation polish process. FP cavities with a finesse of approximately 50 are achieved. Analysis shows that the effective finesse is dominated mainly by the quality of the etched surface.