I know it's quite late to answer, but recently I've been scared, panicking because I lost my sense of humor...!
I had panic attacks with a list of other very fun symptoms of my anxiety during 2 weeks. Now it's week 3 and I feel much better, almost all the anxiety is gone. But my sense of humor is still reported missing / in coma.
When I enter an anxious period (from a couple of days to 2 weeks) I start to dread humor because, unexplainably, it makes me feel very uncomfortable and even nauseous... Like I cannot allow myself to happiness, because I'm generally panicking. And it is difficult to retrieve it.
Sometimes I get what Cuchculan explains but it's more in stressful situations. Like, when working in a very stressful group project that is turning out like a disaster, I breakdown and start to giggle or make jokes of the situation. Not when I find myself helpless during an anxious moment/period though.