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How old are you? Do you have any other medical problems aside from the anxiety? Do you smoke?
There are several possibilities, but one that exists is that what you have is a vascular problem known as claudication which is caused by a decreased blood supply to your legs giving you aching with exertion. It is like angina or chest pain of your legs, caused by the same type of disease. It classically is worse with exertion and is relieved at rest and can present in your thighs as you've described. It can be diagnosed on a simple in-office test called an ankle brachial index where your blood pressure is measured in your arms and legs and compared. I am attaching a link with more information: http://www.uptodate.com/patients/content/topic.do?topicKey=hrt_dis/2048
I hope this is helpful and please let me know if you have more questions.