Hi and welcome to beyond blue. Your reaction was natural - you had planned something and without warning he didn't show. What you didn't know was his anxiety.
Now you asked about how you can help him.
There are a few things that you could do - I could say you could educate yourself about anxiety. You could ask him how you could help him. Yet if there were one thing that overrules the above it is to listen and accept him as he is. I suspect you already love and accept him based on your post.
If you are a person with anxiety, you don't really know how others might react. So you (he) may not say anything, be that guilt, fear, embarrassment, etc. Rather than advice, suggest you just talk to him and listen. And if he doesn't want to talk that is ok, and remind him that you are there if he does want to chat.