Identifying causes of alleged anxiety

I suffer from chronic depression, as well has having been diagnosed as on the autistic spectrum.  I have been re-referred to a psychiatrist, who tells me that a lot of my current problems are caused by anxiety, and I need to resolve the issues that are making me anxious before they can help me further.

The trouble is, I don't actually feel anxious, never mind be able to identify what it is that might be causing it.  I've tried suggesting various things that could be causing it to the psychiatrist, and the only response I get is along the lines of "well I can't tell you what's affecting you".  Can anyone suggest any way out of this impasse?  Or if I can indeed be said to be "feeling" something, if I've only got someone else's word for it that I'm displaying the symptoms?