This is a direct question expressed within a declarative sentence that declares the question to be a question. We answered this last week. The sentence should be written one of two ways:
The question is, "What are we going to do about it?"
The question is: "What are we going to do about it?"
There are some other possibilities, but these are the two major contenders.
This is not a rhetorical question unless there is no answer or unless the answer has already been provided and you're not asking for a real answer. In any case, it doesn't affect the orthography or punctuation.