Exercise Anxiety is not something you'll find in the DSMV, which is basically a manual telling symptoms of various psychological disorders. Most people won't admit that it exists or that they have it. Maybe it's a very rare disorder, but with the prevalence of gym classes which are often no more than excuses to humiliate the physically inept, maybe it's not so rare.
It's the simple fear of looking like a fool in the middle of exercising. Americans notoriously hate to exercise, and maybe the physical pain isn't the whole problem. After all, people always talk about how exercise cures everything from cancer to depression, and makes you feel oh so good. If it's so great, why aren't more people doing it? I don't think it's purely a physical problem.
A personal digression- I have this. I can't exercise now that I'm in college- there's no private place to exercise away from judgmental eyes. Adding to this problem is that the young people who exercise all are really good at it. Old joggers amble along like cows. sweating and breathing hard, no perfect form, no great speed. Young joggers are all ripped and always have perfect form. You never see a flabby kid running along the paths. (I don't even mean flabby as in really obese, I mean like me-skinny but not muscular.)
Of course, just jogging isn't the bad part. The real den of terror is the gym. I personally can't even go to a gym. Many people will say just go! But they don't notice when people look at them like "What are you doing here., you incompetent fool?" There's no class to teach you how to not make a fool of yourself in front of athletic people. And fool you'll look figuring out the different weights, machines and exercises.
And of course, there's the ingrained baggage from school. Remember how people were so picky about how you performed in sports? Noone would be that picky if you spelled half the words wrong in an essay, but the moment you were slightly inept in a sport, whamoo! Time to insult you, because we all know that running after a ball is the only thing that matters.
I think the cure is to exercise in private and work up, or at least wait til you get old enough that everyone else is flabby and weak too. Maybe walk to stores that are within walking distance, or take the stairs more. Unfortunately, things like this can't be fixed by just saying "It's no big deal to be humiliated in public" so I fear we'll be stuck with this for a long time to come.