The short answer is yes. The longer answer is not so simple. The word "bar" has a number of different meanings. For example, a bar is that location where a river meets an ocean - "We were just in the bar when the storm struck."
"We were sitting at the bar", could have the meaning you gave it. It could also have this meaning, "We were sitting at the bar on 42nd Street." "At" used this way, denotes location.
So If I want to give the location, I should say "We were sitting at the bar on 42nd Street". If I don't want to mention the location just want to say that we were inside of a bar I might put it like this "We were sitting in a bar"?