Anxious people tend to perceive their world in a more threatening way. That is, the more anxious a person is, the more likely they are to notice threatening things around them. This is called the threat bias.
Some researchers believe that the threat bias makes it harder for people to get rid of anxiety disorders because they get stuck in a loop - they feel anxious, they start noticing threatening things in their environment, and this in turn makes them even more anxious.