If we apply some cognition to how the mind works, we can see why conscious regulation is so difficult.
Anxiety is about uncertainty. Anxiety is relieved when certainty is established. As an example, players and fans may have high anxiety about the outcome of a game with one minute left to play. That anxiety disappears when the game is over and the score is established.
Uncertainty With and Without Escape
We can tolerate much more uncertainty if we have an "out" than if we have no way out. Though everyone knows flying is safer than driving, it doesn't feel safer. Why? The way people put it is this: "I know I'm more likely to have a accident in a car than in a plane, but in a plane, if there is a crash, I'm dead. In my car, at least I have a chance."
If there is a chance of escape, we can accept far more uncertainty than if escape is impossible. If escape is guaranteed, we can accept extremely high uncertainty. If there is no way to escape, we want a guarantee that things will work out OK.
There is a trapeze school in New York City. They use belts to prevent falls and a safety net in case there is one. Without being able to escape serious injury or death, the school would probably be out of business. Escape, and how likely escape is, determines how much risk we take.
If a person is skilled at an activity, they feel less anxiety when they - rather than someone else - is in control. When driving, if another car is coming at you, how can you avoid a collision? Hit the brake? Turn the wheel. Blow the horn? When you decide what to do and do it, anxiety is controlled. At the moment decision is translated into commitment, the prefrontal cortex signals the amygdala to stop stress hormone release.
If, however, you can't decide what to do, no signal is sent. Stress hormones - and anxiety - continue. Though we may think that control relieves anxiety, that is not quite true. If a person has control but can't decide what to do, anxiety persists. It is commitment (to any plan, good, or bad) that relieves anxiety.
Consider cancer. When remission can't be guaranteed, certainty can't relieve anxiety. Since the illness is in the body, escape cannot relieve anxiety. What about commitment? It depends. Can the person commit irrevocably to a plan such as, "I will commit to living my life, day-by-day, as long as I have my life, and when I don't, I won't."
Not everyone can do that. But for a person with a strong-enough sense of self, there is a cognitive approach that can control anxiety in highly uncertain situations where no escape exists. See http://www.fearofflying.com/library/abstract-point-of-no-return.shtml