First, doctors don't specialize in anxiety, so they will often just call anything they're unable to find a specific answer to a mental problem even though it might very well be something physiological they're not able or qualified to find. Psychologists and psychiatrists specialize in mental disorders, but even though psychiatrists are physicians very few of them will bother with looking for physiological causes, so that leaves you caught between psychiatrists having the expertise but not the desire to find out what's really wrong and doctors not having the expertise to distinguish physiological from psychological illnesses. But anxiety is pretty easy to self-diagnose -- if you're feeling anxious to such a degree your life is significantly impaired, you're anxious. You're afraid of things. You stop being able to manage your life without a whole lot of difficulty. You get anxiety attacks. You get phobias. Something that sticks its head out. Otherwise, you're just feeling what's true, which is that life is very uncertain and often genuinely insecure, but you don't have a disorder. Having HIV anxiety due to an exposure is normal; having it all the time without any risk factors, or having it to a degree where you just don't go get a test and find out the answer but worry all the time, that's a problem.
Basically what they should do is rule out all physical ailments that it could be but they don't always do that. I've had mine all my life and they did all kinds of tests when I was young. You should find out about the headaches at least. Best wishes, Steph