Acharya Prashant explains that anxiety is fundamentally a thought and a product of the imagination. He states that the law of duality ensures there is no anxiety in a state of attention. Anxiety arises when there is a conflict between physical reality and an imagined alternate reality, leading to confusion. This presence of anxious thoughts indicates a lack of understanding, as thoughts cannot dominate when one truly understands the present moment. He emphasizes that all anxiety is rooted in the future, whereas enjoyment and excellence are found only in the present.