I want to share my anxiety with my friend
Why are the reasons you are experiencing anxiety.
My dog died recently.
I can understand your feelings about this. It's understandable to want someone to sympathize with your feelings. Maybe you should let them know what is going on or find other ways to comfort yourself.
I can't they are upset because I was the one who killed the dog.
That sounds horrible. Maybe talking with a therapist would be better because they don't have any emotional evolvement in your situation.