My work uses FortiClient to allow us to work remotely. Can they monitor my activity?

Hi @kjenaneta ,

Yes it is possible, your network activity will be visible. 

it depends on if the Split tunneling mode. If it is not enabled for your SSLVPN traffic, then all the traffic goes through your corporate firewall. However, most company enables it. Because it allows to not process unnecessary traffic from SSL-VPN clients. Go through the KB to get acquainted.
https://community.fortinet.com/t5/FortiGate/Technical-Tip-Enabling-split-tunnel-feature-for-SSL-VPN/ta-p/198108

Just based off the topic I would assume your an end user that does not have access to the firewall to check for split tunneling. So yes it can be monitored if split tunneling is not enabled. Basically any and all traffic would go through your company firewall before it reaches you. You can however check by seeing what your IP is showing when you connect to the VPN. Check a public website for your IP info before getting on the VPN if it stays the same once you connect to the VPN you are good. If it changes IP then your traffic is going through your company firewall and you can be monitored