I believe the initial effect is briefly raising your blood pressure and heart rate, followed by those things lowering. The initial spike can cause anxiety, since the heart rate comes first and once the mental aspect of anxiety is triggered it's hard to soothe. People who have anxiety may feel their body reacting and think, oh no I'm anxious. This is partly why exercise helps anxiety long term past the release of energy, since it lowers resting heart rate.

I've also heard that the anxiety effects can come from worrying about getting caught, so I'm curious if you're experiencing this is an accepting and legal environment.