It's a well known fact that anxiety can cause shortness of breath. But what about shortness of breath causing anxiety?
Our brains are well geared towards recognising patterns and reacting with learned responses when it detects the presence of a known pattern.
One of these patterns is that anxiety and short breath go together, and generally in this order. However the brain is a clever thing and can also do things backwards - ergo: "We're short of breath? We must be anxious!" cue the triggering of all the other symptoms of anxiety and before you know it we are in the full throws of a panic attack and not knowing why.
So if you find your anxiety levels are starting to rise/spike and you can't figure out why, try regulating your breathing, it might just be your body going into autopilot.