I may be different because I have generalized anxiety disorder, but I drank to self-medicate my anxiety. Stopping drinking helped my anxiety immensely, but it definitely takes a few weeks before I feel "normal." My biggest challenge in sobriety is learning to feel my anxiety and sit with it when it happens without medicating.
The point is, ride it out. Most alcoholics aren't used to dealing with our feelings because we have avoided them by drinking. You will get better at it, and as the others have said, the anxiety will improve over time.