It was at a gym that I had the major anxiety attack that triggered a series of subsequent attacks and led to my GAD diagnosis. After having some tests done that confirmed nothing was wrong with me physically, I took a week off and then went again several times. Although I took it easy, I still felt some anxiety creeping up. I think the first major attack traumatized me. Writing this makes me realize that it wasn't so much the GAD I needed to manage when going back, but the trauma. I work out at home or at my apartment's fitness center without any issues. I loved going to that gym, though, and want to start going again. I'll read up on trauma, talk to my psychologist about it, and try a xanax next time I go to that gym.
I get this problem myself! I think the best thing to do is to avoid feeling your pulse or feeling your heart during exercise. Because if you do that it'll just make you feel anxiety. If your heart is strong enough for exercise then you shouldn't have to worry the heart loves to exercise and exercise is great for the heart.