I believe it is because prior to psychedelic/entheogen usage the "average" person is anchored to their ego very heavily, knowingly or unknowingly. That is what the ego is after all. "We"
think we know what we think we know. The ego being the end-all-know-it-all that truly doesn't know what is beyond what it knows, which is waking reality and what we see day to day and experience subjectively. Psychedelic usage breaks down the walls,lifts the curtain and even without necessarily experiencing ego death, it shows you that there is the potential for there to be far more than just what we experience daily prior to or without entheogen usage. This other worldliness presents itself. What is it, where is it, is it anything at all? Immediately upon my first true experience with DMT, my beliefs on death changed. I thought that being here in this life was all there was, and onec you die, bam thats it shows over. I now believe that there is something after life here, and that it is part of a progression; whatever that may be. But I was shown and told that there is something beyond here.
People also are taught via religious institutions to fear some deity, for if they live a life that is morally corrupt or not in-line with their religious values then their afterlife will be unpleasing. So that causes fear of dying as well because many may fear that they are not living according to the religious beliefs that have been bestowed upon them, willingly or not.
I do think it lowers general anxiety, particularly of the "unknown" because these chemicals are able to connect particular areas within the brain, and then we feel the interconnectivity of everything. The universal oneness, that we are truly all the same. Trees, animals, us, all the same things organized in different structures. So these substances do break and reassemble thought patterns to aid us.
Like what dmnstr8 said as well, each experience something negative of mine died and something was born or re-born within me. My ability to be more compassionate, my ability to be patient, my ability to not be so short-fused. I feel more human than I did prior to entheogen use. Lately I have felt very apprehensive to partake in entheogenic/psychedelic usage because of a very unsettling experience a while back, I think it's my ego doing everything it can to hold on to remaining parts of the old me. Ive lost a lot of the old me, though there are still bits and pieces remaining. I know I want to let them go, but fear, manifested by the ego of what may come to surface during a trip, my ego knows will be the end of more of the old self. I'll get there eventually and get back at it again

Day to day life gets in the way, career particularly. I feel like Im "functional" in society and a better person than I was, so if it's not broken now dont fix it essentially is my mindset. When the time is right though the time will be right to jump back in.