Catching yourself and bringing yourself back is about all you can do and maybe some therapy to help you with your anxiety. You go away because you're that anxious. The more often and quicker you can bring yourself back, the better. I'd think of a line to say, "I'm sorry, I didn't get that, I was thinking of something else for a moment" to kind of apologize to whomever you weren't listening to.

Or, you could take your anixety at face value and explain to whomever that you can't discuss the subject right now, you're too upset, and wait a bit until you are less anxious to approach them and discuss some of what they said. Could be the conversation goes "too fast" and you're anxious about what to say and can't think. I spent a lot of time in therapy working on making myself room in my head to think when others were talking to me as I'd get too anxious.