It's great you're in therapy for anxiety! Have you ever mentioned your concerns about pregnancy to your therapist, and talked about ways to manage those fears?
I would also say too that sometimes, even if we enjoy something, that doesn't mean it's a good idea for us to engage in it. For example, my partner loves eating prawns, but he has a severe allergy to them, and eating them makes him really sick. It's one of those situations where the enjoyment isn't worth the yuck that comes after, and the same thing can be true of sex: even if you enjoy it in the moment, sometimes that enjoyment doesn't outweigh the anxiety and worry, and taking a break from the kinds of sex that are causing that worry is the best move for your overall wellbeing. (The good news is that once you're feeling more in control of your anxiety and have learned ways to deal with it, you'll probably be able to have a sex life that's even more enjoyable - it's not like you have to stop having sex forever, unlike my partner who will never be able to eat shellfish!)
One more thing to think about is that there are a lot of ways to create intimacy with a partner that don't involve sex. We have a piece on that very topic right here that might be worth a read for you: Intimacy: The Whys, Hows, How-Nots, and So-Nots