There is more than one kind of fennel...If you are wanting the bulbing type, I doubt you will get that from your herb. There is another type of fennel that looks like a typical herb plant, without bulb, which I believe you probably have .... Try it, what can it hurt??
If you want more fennel seed, then if you can get your seeds to sprout (which you won't if they've been heat-treated or are too old, but they very well might be ok and the only way to find out is to try!) then you will certainly be able to get fennel from them. Although it is usually a biennial, isn't it? So you might have to wait til the following year for flowers/seeds.
As lesa says, if you want florence fennel (the bulbs) that's a different cultivar, your seeds will not produce it.