Just tell your doctor you are not feeling any better and don't feel ready to return to work. No he will not send you back to work if you tell him you are not ready. Ask him to sign you off for a few more weeks.
Don't panic about it please. Your doctor will do what is best for you. Just make it clear to him how you are feeling. He has your best interests at heart. No doctor would send a person with depression back to work if they are not up to it. I had months and months off work. The employer has to accept that you are ill.
He told you he would give you more time if needed, so I wouldn't worry. However, I would ask for a referral to psychiatry so you can begin therapy to work on managing your anxiety. Even if your GP can give you anxiety meds, therapy will help you learn to manage and cope with your anxiety over time by recognizing triggers, patterns, etc.