Your anxiety doesn't come directly from the threat itself, but from the knowledge of the potential threat. Human beings are the most anxious animals on the planet because we are the most intelligent, and with our intelligence comes a huge cost, a lot of anxiety.
Because we are self conscious we soon figure out that we are a subject to all kind of potential threats and that we are eventually going to die. So we developed a mechanism to help us avoid some of these threats, that is anxiety and panic.
There are two main conventional approaches when it comes to addressing phobias:
One is to address it at the level of ration, as a faulty programmed computer that just needs to be reprogrammed.
If for example you have a phobia of elevators, and you look at the facts over how safe are elevators, you are going to realize that one in x amounts of people die every year. Despise the fact that it is a very small number and you have more chances to get struck by a lightning than die in an elevator, the risk is as real as it gets.
So then your mind is going to wonder, what if I am going to become the statistic, that rare person, that rare accident. Because the purpose of anxiety is to prevent the threat from even happening in the first place, this is why even if the risk is small there is still a threat and a reason to fell anxious.
The other common way to address a phobia is to face it. To expose yourself to what is causing you anxiety in order to convince yourself that there is no real danger.
Well as I wrote above, the danger is real even if it is very small, every time you are in an elevator it will remember you that, you could have an accident and thees could be the last seconds of your life.
So by exposing yourself to your triggers you are generally going to learn that the danger is real and this will make the experience unpleasant and your anxiety to persist.
You see life is full of danger, there is a sufficient number of people that just fall in their own houses and get injured or die, there is no one hundred pro-cent safe environment. To that extent you should be afraid of everything, because everything could hurt or kill you under the right circumstances. But then life is not very fun and it lacks quality.
Because your anxiety is not caused by the threats but by your self consciousness, you do not have an anxiety problem you have a self consciousness problem.
Avoiding danger is impossible, the purpose is not to convince yourself that there is no danger because that is a lye. As life is full of danger if you are going to live your life you, have to take constant small and calculated risks.
Which means that you have to surrender to the danger, not avoid it or be in denial about it. To return to the example above, there is a real danger to get stuck or die in an elevator you will never find other way, if you are going to get over your phobia you have to surrender to the fact that you could die every-time you get in an elevator. But is a small calculated risk because there is a very very small chance.
And when the threat is perceived as a certainty of the probability for that threat to become reality there is no longer necessary to fell an emotions that is designed to prevent threats.