It is difficult not to think of emotions as direct responses to causes, or triggers in the mental health world. And people who are in counseling spend a great deal of time identifying triggers and trying to make them less, well, triggery.
I very common response to the question: “what is making you anxious?” or “what is making you depressed?” is simply ‘I dunno’. This demonstrates two problems. First, this person does not have a firm grasp of the cognitive aspect of their emotional state. Something is probably causes the distress. But, here is the second problem, that distress might not be currently happening.