Caffeine is known for increasing anxiety problems, a side effect of increased alertness (what is anxiety after all, alertness for an inexistent threat).
Personally though it doesn't seem to make mine much worse, in moderate amounts. Actually it seems to have a positive effect on me, even in social interaction, as it prevents me from feeling too much depressed and uninterested in talking to others. It makes me slightly more extrovert than I would otherwise be.
But I guess the fact is I don't have clear anxiety problems, more like a mixture of scarce social habits and abilities, and a certain tendency to depression. Maybe I have SP not SA, even though they are supposed to be the same.