Not really, people with anxiety are often looking for self-validation and self-affirmation. Joining a community that screams "we're more intelligent than 99% of the population" sounds like a fair way to go with that anxiety.
You would be amazed in this instance. Mensa has a reputation for being very 'superior', very 'elitist', and that's the type of organization that is more likely to attract the more typically anxious or neurotic personalities.