I know exactly what you are talking about. When I get anxious or depressed, and start having an attack of some sort, I go into my room, shut the door, and blast some real heavy rock. Within minutes I feel fine.
What I think it is, your mind is focusing on the music more than your attack. When you focus on the attack you panic more, so the music helps. But it's weird, yeah, only really angry sounding music will help, no classical crap.
So no, you're not alone! And as long as it works! :p