This expert explains why in a very detailed and most plausible way.

Here's one taste:

Is the United States more prone to higher levels of anxiety than other nations?

Put simply, we are. Perhaps the most puzzling statistics are the ones that reveal that we're significantly more anxious than countries in the developing world, many of which report only a fraction of the diagnosable cases of anxiety that we do. One of the reasons for this is that the people in many of these third-world nations are more accustomed to dealing with uncertainty and unpredictability. I talk about this a fair amount in the book, but lack of control is really the archenemy of anxiety. It's its biggest trigger.

So people in "less developed" nations have lives which are actually more uncertain and unpredictable;  what happens to them is actually beyond their rational control.  But they're used to it.  We actually have more control over our lives;  we can deal more effectively with--and know a lot more about--the various "risk factors"--including nature itself--out to do us in. 

Our lives actually are more predictable and secure than lives have ever been; we have less reason than ever, for example, to be anxious about a child dying. But it seems parents are more nervous than ever.  Accidental death after all is still possible at any time, and we can  and we do more than ever in response to that perception of contingency with our prudent calcuations. 

Is it true that more "rational control" we have, the more anxious we are?  Maybe that's because each of us is stuck with knowing how much the very future of one's own being is in one's own hands.  We're stuck with being control freaks, always calculating--nervously or anxiously--about our personal security. 

We're the people least likely to relax and let God or nature take its course.  That fact, like most facts about social transformation, is both good and bad.  But who can deny that it does anxiously rob us of the happiness or contentment we can enjoy right now. Is it harder than ever to be happily in love with or in the moment?  We do spend big money trying to compensate for our anxiety with self-help programs that promise serenity now.  I'll talk about the drugs later.

So it's not so much the actual lack of control--but obsessing over lack of control--that's the cause of anxiety.

We might be looking forward to a future with people blessed by technology with indefinite longevity obsessing over their lack of immortality.  Death, having become much less obviously necessary and much more seemingly accidental, might consume our lives.  We'll knock ourselves out like never before in accident-avoidance strategies--maybe spending our lives in in lead houses communicating with our virtual (and so non-threatening) friends with the most advanced forms of social media. 

But we'll still be worried about that asteroid that might pulverize our planet at any time, not to mention our lingering inability to stablize the climate (against nature's capricious intention) in the most person-friendly form.  And we'll still know that every particular being in this world has to go sometime.  We're not going to bring the whole cosmos under our rational control

I have a lot more to say about this excellent study.