I have been into our loft today and discovered there is a gap either side of the chimney that goes into next door's loft space. How can I protect our property should they have a fire?

Without knowing much more about you situation it is impossible to give you sound advice I would contact a Party Wall Surveyors to inspect the situation and I am sure will give you the necessary advice you need.

Check out https://www.localsurveyorsdirect.co.uk/partywall-surveys-consultancy.aspx and 

http://www.planningportal.gov.uk/buildingregulations/approveddocuments/partb/bcapproveddocumentsb/ page 30 of vol 1and 

https://www.gov.uk/guidance/party-wall-etc-act-1996-guidance