Hey
Can I just clarify, is the anxiety due to your hair loss? Do you feel anxious about people looking at you when you haven't got a full head of hair? If this is the case I would be concerned as a hair transplant may not solve this deep rooted (no pun intended!) feeling.
If on the other hand your anxiety is not associated with your hair loss, then I feel the advise given above is good, but I would also try and seek professional help. Don't be prevented by the stigma around mental health, there are people out there that can help you. You shouldn't have to feel like this, and social situations can (maybe even should) be one of the things that you, as a human being, enjoy.
Good luck