The Federation is at war with the Borg, because the Borg are intent on encroaching upon the Federation and assimilating everyone, a hostile act that presents no discussion.
However, generally speaking the Borg aren't at war with anyone (their
perspective). They merely perceive that they have the right to assimilate anything they choose. The Borg are more like pirates. They do not recognize any other being as having any rights. They kill and destroy to take what they want regardless of the ramifications. War is irrelevant to them, until the species they seek to assimilate goes on the offensive (species 8472) rather than maintaining a defensive posture.