There is an association between cannabis and anxiety- the more you use cannabis, then the higher your risk of developing anxiety. It appears that the active ingredient in cannabis, THC, can adversely affect serotonin and GABA, and hence may increase the risk for anxiety, given these neurotransmitters are important for the development and treatment of anxiety (Crippa et al., 2009).
In addition, cannabis can cause cognitive problems and clouding of the consciousness, which can then lead to losing one's bearings, and hence anxiety develops.
Cannabis and anxiety: a critical review of the evidence. Crippa JA, Zuardi AW, Martín-Santos R, Bhattacharyya S, Atakan Z, McGuire P, Fusar-Poli P. Hum Psychopharmacol. 2009 Oct;24(7):515-23.