Yes, alcohol can cause anxiety or nervousness when you are withdrawing from it. Alcohol is a CNS (central nervous system) depressant, so it slows your brain activity down and it calms you when you use it. So alcohol is similar in effect to benzodiazepines like Ativan (lorazepam) which reduces your anxiety when you take it. The problem with alcohol (and to a lesser extent benzodiazepines) is that you start to develop a tolerance to the effect, and therefore need ever increasing amounts of the alcohol to get the same calming effect. Also, with prolonged use, you start to get dependent on alcohol. When you are physiologically dependent on the alcohol, then you start to experience withdrawal symptoms when you don't use alcohol or the effect of the last drink wears off.
It is when you are in withdrawal from alcohol that you can experience significant anxiety symptoms, which can be more severe than the baseline anxiety symptoms your started with when first trying alcohol to calm your nerves. In withdrawal, in addition to anxiety, you can get irritability, sleep problems, concentration problems, memory problems, and problems with your vital signs (blood pressure, heart rate). When you have severe withdrawal from alcohol, you can develop delirium tremens, which can be fatal, so that is why alcohol detoxification requires admission to a medical inpatient unit to address any life-threatening medical complications like delirium tremens, commonly known as 'DT's.'
Fortunately, the anxiety induced by alcohol withdrawal may go away after a few days of abstinence. However, if you have protracted withdrawal due to severe dependence on alcohol, then the anxiety symptoms may persist for weeks, and may require active treatment.
So stay away from alcohol for calming your nerves. It just makes your anxiety worse, when you experience withdrawal symptoms from not using alcohol or when the effects of your last drink wears off. Sure, alcohol helps your anxiety and nerves when you are drinking, but it is the withdrawal from alcohol that is the problem, and is anxiety-provoking.