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In FoTR movie, after the Fellowship reaches Lórien and talks to Celeborn and Galadriel, Celeborn says that the Enemy (Sauron) knows they have entered Lórien.

Celeborn: The Enemy knows you have entered here. What hope you had in secrecy is now gone.

But we are not given any indication Sauron knows about the Fellowship’s path. And even if Sauron knows, how is it possible for Celeborn to know that?

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    I added the quote to make it clear what Celeborn is said. Feel free to rollback if necessary. – Adamant Sep 13 '16 at 5:44
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Sauron has many spies

Sauron does not know the Fellowship’s path, but he is not without resources. His spies are everywhere, and the Fellowship can never be sure they are not being watched. As Gandalf says earlier, many animals are spies of Sauron:

GANDALF: Be careful, both of you. The Enemy has many spies in his service, many ways of hearing…birds, beasts…

Further, Aragorn suggests that there are orcs in the area, many of whom serve Sauron:

ARAGORN: By nightfall these hills will be swarming with Orcs! We must reach the Woods of Lothlórien. Come Boromir. Legolas. Gimli, get them up.

Lórien is the home of two elves of great power, Galadriel and Celeborn. In the film universe, Galadriel helped drive Sauron, in his guise as the Necromancer, out of Mirkwood. She was thus one of his greatest enemies. If the hills around Lórien were swarming with orcs, and Sauron had many animal spies, it would only make sense for them to watch the comings and goings.

Galadriel and Celeborn have their own means of perception

CELEBORN: The Enemy knows you have entered here. What hope you had in secrecy is now gone. Eight that are here yet nine there were set out from Rivendell. Tell me where is Gandalf? For I much desire to speak with him. I can no longer see him from afar.

From this we can conclude that Celeborn had some way of perceiving things at a distance. It is thus possible that he noticed the movements of Sauron’s spies following the Fellowship.

We also know that Galadriel possesses her Mirror, which can show faraway events:

‘Many things I can command the Mirror to reveal,’ she answered, ‘and to some I can show what they desire to see. But the Mirror will also show things unbidden, and those are often stranger and more profitable than things which we wish to behold. What you will see, if you leave the Mirror free to work, I cannot tell. For it shows things that were, and things that are, and things that yet may be. But which it is that he sees, even the wisest cannot always tell. Do you wish to look?’

The Lord of the Rings: The Fellowship of the Ring

As such, it is very plausible that (a) Sauron’s spies noticed the Fellowship enter Lórien, and (b) that Celeborn and Galadriel in turn noticed the spies.

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    Plus remember that the orcs followed the Company out from Moria, and their trail led to Lothlorien. None of the orcs made it through, which must have been a big red light for Sauron – ASH-Aisyah Sep 13 '16 at 12:40
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In addition to ability of Celeborn and Galadriel to "see from afar", which Adamant refers to in his answer, the books give fairly clear evidence that the Fellowship was tracked into the woods of Lorien by Orcs. On their first night together, Haldir tells them

‘A strong company of Orcs has passed. They crossed the Nimrodel – curse their foul feet in its clean water! – and went on down the old road beside the river. They seemed to pick up some scent, and they searched the ground for a while near the place where you halted. The three of us could not challenge a hundred, so we went ahead and spoke with feigned voices, leading them on into the wood.

‘Orophin has now gone in haste back to our dwellings to warn our people. None of the Orcs will ever return out of Lórien. And there will be many Elves hidden on the northern border before another night falls. But you must take the road south as soon as it is fully light.’

The Lord of the Rings Book II, Chapter 6:, Lothlórien

By the time the Fellowship meet Celeborn, he would have heard the result of the pursuit of the Orcs. It may well be that, despite Haldir's confidence, a few Orcs escaped. In that case Celeborn could assume that they would have reported the Fellowship's location to Sauron.

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