Anxiety isn't about 'a scary thing' that you can do. It's not being anxious about an exam or something it's a debilitating condition.
It can be an all consuming, unconscious physical reaction that is as utterly and comprehensively life changing. My DH was taken to A&E twice with anxiety attacks that passers by thought were cardiac arrests. His life (and that of our family) was impacted terribly for years before treatment helped him recover. He is well now thank heavens and the NHS.
There was no 'scary thing' he could do - it wasn't like he was afraid of public speaking or dogs or something.
The scary thing had happened to him (repeatedly) decades before as a child and the anxiety was the delayed, suppressed result of that and it burst out of him like a bubble popping.
I think your psychologist colleague might be talking out of their hat.