In his book "Predictably irrational", Dan Arielly, talks about this exact behavior and explains it from a behavioral economics vantage point. In essence he is saying that the missed opportunity cost of not taking on "all projects" is far less than the risk you are taking by working on so many different things at once. In one of the chapters he tells the tale of a chinese general who burned his army's ships thus leaving them no choice but to win all battles ahead since they now had no other option.

On another note, you are not alone. It is an anxiety that, IMO, emanates from you not being able to read the pattern correctly. And that only comes with experience and exposure. Once you get to a point where you can "see" the general direction of things you will be able to accurately filter the probably-doomed-to-fail from the probably-a-bang-in-the-making projects.

Lastly, think of this; Who do you prefer to be?: - being the guy that doesnt know how to say no and never finishes anything fully (like a drift wood that never reaches a shore)

- being the guy that is selective but dedicated to the projects he chooses to work on. (like a power boat)

Anxiety is not something you can beat in 2 days but being aware of it is a major step. Work on it!