Cause? I'm not sure. But the withdrawals alone can exacerbate depression and anxiety. Nicotine becomes a mental crutch. It is often a stress reliever for the smoker (even though once the cigarette is out, it's a stressor like all addictions). Losing the addiction means having to deal with the stressors that caused you to light up in the first place. When I quit, I struggled finding other ways to cope with my anxiety. To this day when my anxiety is really bad I crave a cigarette.