"since the enemy is being held, can he make an Athletics defence roll to try to escape next attack?"
It depends on his intentions, and it depends on timing.
If he intends to Defend himself against someone else's Attack, then no, he can't try to escape the grapple in the same Action. He can Defend against the Attack.
If he intends to try to escape, no matter what anyone else is doing, then it wouldn't be a Defense roll, it would be an Overcome.
The Defense action is only used when opposing the adversary's action.
On his own turn in the next exchange, the held person can try to Overcome the "Rear naked choke" Aspect with Athletics. So, no, he can't make an Athletics Defense roll to escape.
(This does not preclude him from Defending if Attacked on the other character's turn. So, yes, he can make an Athletics [or, probably more appropriately, Physique] Defense roll to defend.)
Of course, the holder provides active opposition to the attempt to Overcome the choke-hold and escape, not passive opposition (this means, the holder rolls an appropriate Skill), and similarly to what edgerunner said, the holder probably already has a free invoke on the "Rear naked choke" Aspect, to invoke for their opposition roll. In other words, it's going to be hard for the held person to succeed at escaping, but, they can certainly try to Overcome (not Defend).
Maybe he can Create Advantage first in some way, to help with Overcoming the subsequent escape attempt. Or maybe he can self-compel and earn a Fate point first, and later use the Fate point to help his escape attempt.