It occurs to me that when I'm reluctant to chat up a stranger, it's not "actual" external consequences that I fear, so much as my own feelings of embarrassment, shame, etc (note: I've no idea if this is true for others). Feeling embarrassed is a (not insignificant) negative in my utility function. And it happens to be a fact about me that if the conversation goes badly, I will feel embarrassed!

Now, this is just a chimp-brain reflex. I'd willingly take a pill that made me less unhappy about failed social interactions, and it's on my to-hack list. But I wanted to let you know that, in some cases at least, saying "hey, there's no actual danger here," doesn't address the actual issue, because the anxiety isn't based on that particular concern.