I think it's similar to one thing I learned about dog training. If your dog starts freaking out and barking uncontrollably at another dog, because they're afraid, once you get them away there's a sense of relief. "Oh good, I got away. Whatever I did that time definitely worked."

It takes an active approach to pierce through anxiety and fear. Repeatedly becoming terrified of something will more likely just make us feel bad, and helpless. Actively perceiving something frightening as tolerable is the kind of exposure that helps.