Heavy Fog prevents only damage that would be dealt to you by attacking creatures. It won’t prevent damage attacking creatures would deal to creatures or planeswalkers you control.

If all the attacking creatures attack your planeswalkers, you can’t cast Heavy Fog. To cast it, a creature needs to have attacked _you_.

Heavy Fog prevents all damage attacking creatures would deal to you this turn, not just combat damage. Noncombat damage from those creatures is prevented only if they’re still attacking at the time that damage would be dealt or, if the creature has left the battlefield by then, if it was an attacking creature at the time it left.