My best friend has anxiety also, and our worries become each other's worries as well. However, we actually both work it out very well where we do our best to not let our anxieties intersect each other. If one of us are in a bad place we of course confide in each other, but we both somehow end up feeling better after we do. I guess I'm lucky that way.
Although I used to be close with another friend who had very bad anxiety too (plus other mental health problems) and she was the one that also triggered my anxiety as well, because I got a little emotionally invested with helping her out with problems. It was kind of horrible as it doubled my worries and anxiety, and what sucked the most was I couldn't let go because I cared about her.
I have some friends who I felt anxious around and unfortunately I've lost them, as anxiety ruined it for me. It's whatever, some of them weren't very supportive and just made jokes about me being afraid to leave the house.