What is this?

I haven't had that but found this:

What causes cold flashes anxiety symptoms?

Behaving apprehensively (anxiously) activates the body’s stress response, which secretes stress hormones into the bloodstream where they travel to targeted spots to bring about specific physiological, psychological, and emotional changes that enhance the body’s ability to deal with a threat—to either fight with or flee from it—which is the reason this response is often referred to as the fight or flight response or the emergency response.

Part of the emergency response changes include constricting blood vessels and shunting blood around so that the body is better prepared to deal with a perceived threat. These changes alone can cause the body to feel cold – blood is warm and with less blood being available near the skin, this can make the body feel cold. There are other changes that occur, too, that can cause the body to feel cold. Having a cold flash is a common symptom of anxiety and the changes behaving anxiously can cause.

When stress responses occur infrequently, the body can recover relatively quickly from the physiological, psychological, and emotional changes the stress response brings about. When stress responses occur too frequently, however, the body has a more difficult time recovering, which can result in the body remaining in a semi hyperstimulated state, since stress hormones are stimulants. A body that becomes stress-response hyperstimulated can exhibit similar sensations and symptoms to that of an active emergency response even though a stress response hasn't been activated. Experiencing involuntary cold flashes is an example of how hyperstimulation can affect the body.

it could be the side affect of the medication

hi P was wondering how you were doing as you werent on yesterday. i reckon its a side effect as i get sinilar except for me it feels like a burning sensation in chest and down arms. it used to go through my whole body and be there for longer but now it is more localised and goes quicker. i didnt have this with anxiety before so im pretty sure its a side effect. it used to make me feel like crying too. hopefully it will go away in the next couple of weeks. Remember we are only 4 weeks in. Also i reckon you should talk to your mental health nurse about adding buspirone. apparently it can work well to reinvigorate an SSRI

its fear from the anxiety.