It's a symptom of significant anxiety. Its common enough that studies have been done on sufferers, and what they found was very interesting.
When we get that breathless feeling, there is absolutely no physical change. No accelerated or slowed breathing. No lack or abundance of oxygen. It is all perfectly normal even as we are terrified we're going to suffocate.
Anxiety does it to us. Makes us think that we're in danger. But really, that does make perfect sense, as its a system designed to save our lives. Thats why you get the urge to see a doctor; the urge to do *something* to try and save yourself.
Trouble being, you're not in danger. Anxiety is a jerk.