You have someone to listen to who won't offer advice.
Sometimes, you don't want advice. Not everyone understands anxiety, and many people think they can "fix" you. Even well-intentioned people think that a few pieces of good, sound advice will be enough to cure you of your fears, but, for some, anxiety is deeper than that.
A pet will never try to fix you. You can sit with your pet on the couch for hours and just rant, and she won't try to advise you or solve all your problems. There are times when you just want to talk, and you don't need anyone to say anything back. A pet will simply sit there and love you. And sometimes, that's all you need.
They offer an excellent distraction.
With anxiety, a small feeling can escalate into something huge very quickly. The tiniest thing might not be that big of a deal to some, but anxiety turns it into the apocalypse. It becomes all you can focus on.
When you have a pet around, you have to focus on him. "When we focus attention on taking care of a pet, it help takes our mind off of our own worries," Humphreys told The Dodo. As we all know, pets need a lot of care and attention. Your pet needs food and walks and love - all things you can focus on to distract you from your impending doom.