I used to do that. Or if I was living with someone else and there were visitors I'd retreat to my space. I got over the anxiety part pretty much although I won't necessarily answer the door. If I choose not to answer now it isn't due to anxiety. If I see two guys in suits on bicycles or ladies with a handful of religious pamphlets then I'm not going to answer the door. Same thing if it's strangers at the door at 4am. Just because people can ring my doorbell doesn't make me feel obligated to answer
I guess I got over the hiding/anxiety behavior by a sort of exposure therapy... self administered therapy if you will.
Hiding or confronting really is a learned behavior pattern IMHO. Once you do it it's easier to do it again and eventually you find yourself comfortable with your actions... or stuck with them.