A new method is presented in this paper to fabricate Fabry-Perot (FP) cavity with MEMS bulk wet-etching technology, through which FP cavities can be achieved with the cavity length from several microns to tens of microns. The parallelism of mirror elements can be well achieved without electrostatic control. Some FP cavities were achieved that the insertion loss was less than -8dB, the full width half maximum (FWHM) was about 2 nm, and the efficient finesse is up to 50. Some factors which influence the finesse have also been analyzed. The further work is ongoing.