I see nothing wrong with the passive, making the thing denoted the subject. Ngrams shows that it is used more frequently than "We denote", FWIW.
The natural probability measure is denoted by P.
You would opt for the "We denote" form when you are departing from standard practice, or referring to something new and thus get to give it a symbol, like naming a new comet.
If using the "We denote" form, use with:
We denote {whatever it is} with {symbol}.
(The paraphrase of that form is "We use {symbol} for {whatever it is}).
You could also make the symbol the subject:
P denotes the natural probability measure.
That form appears to beat out the others, though with Ngrams and truncated search terms, we can't be sure of that.
If you are writing an introductory textbook, you could use the adverb usually or conventionally when following usual practice or standard practice, respectively.