I just cancel the next appointment and decline to make another one (or tell an untruth, "I'll schedule another one later"). They know the level of stress, anxiety, and avoidance I deal with in attending, so they 'get it'.

If it was a regularly scheduled thing (like the anxiety clinic I'm attending right now with preset weekly sessions), I suppose I would be more forthcoming about it...

When I was 19, a therapist I'd stopped seeing actually came to the house (I was living with my mother at the time)... I, uhh, refused to come out of my room, and the two of them just talked instead... I felt guilty about it, but it was like, NO, I cancelled for a reason, dude... Cannot. Do. Anymore. Just wanted to be left alone.