I haven't heard of this. One of the big advantages to LDN seems to be that the side effect profile is pretty low; I've heard about vivid dreams as a mild side effect (which could certainly tie into anxiety!), but those tend to fade away as well. It's certainly possible that LDN is a factor, but is it also possible that other factors could be causing or worsening your anxiety?
Just throwing some ideas out there. Full disclosure: I'm currently on LDN, sure, but I've also dealt with anxiety/depression and OCD type stuff for a long time now, well before I even knew what LDN was. Up until I was diagnosed with IBD, I never took anything for my anxiety, but Crohn's was the straw that broke the camel's back and I started looking for help. I ended up going to therapy and a year or so in I started taking fluoxetine (generic Prozac), both of which seemed to have helped. Again, not sure if LDN can contribute to anxiety, but if that's true, then in my case it's probably being offset by the Prozac.
Hope some of this helps. Let us know what you decide to do -- keep us posted!