I've never really canceled on this therapist, only rescheduled, but I do tend to give a general explanation when I have to move things around--nothing extremely detailed unless it's otherwise relevant to therapy, just something like saying I'll be at a conference, or that I had a work conflict come up, or whatever else. I certainly don't feel like I have to justify or explain, though I suppose I might if it were very last minute. But it tends to feel more natural to give at least some vague reason.