Anxiety itself has several causes, e.g. Environmental such as stress, genetics and brain chemistry (imbalanced neurotransmitters) and so on. This basically means that each individual can react differently to the same situation (e.g. meeting hot female).
Some people suffer more from anxiety, they can have even severe panic attacks. Anxiety is also underlying cause of some mental disorders, such as OCD, phobias (social), PTSD...
Looking at human history, in wild nature anxiety was perhaps our best friend. We needed "fight or flight" response to survive. Our senses had to be sharp in order to survive sudden attacks, it would be impossible without anxiety.
Anxiety is basically primitive brain mechanism that evolved to avoid pain - we see a predator and high anxiety (through release of hormones such as adrenaline) allows us to run as fast as we can, or fight as best as we can.
Over time we evolved into logical creatures, however the underlying anxiety is still there.
As far as anxiety from approaching hot women, it is just a reflection of fear of rejection. We know that there are lots of guys after that particular female. We know that we can fall in love with her fairly easily, we know we can connect to her very well on primitive (sexual) level, we know that we can have those sweet feelings... . We also know that her possible rejection is quite painful, humiliating, it really hurts. Thus when a guy sees hot female his brain automatically runs alarm (high anxiety) because it senses possibility of severe pain. This anxiety can be quite severe in many guys that it simply doesn't allow them to approach no matter what they do....