A relapse is another word for setback. It happens when people work to recover from their anxiety disorders - 2 steps forward and one back. It can happen anytime, during the recovery process, or even years later. There are several possible reasons. It should be understood as a natural process - we don't make progress in a linear fashion.
Most people experience a return of anxiety symptoms at some time.
For some people, it's because their only coping skill was medication. For others, it's because they are under stress again and not coping with it effectively. However it's important to understand why their anxiety symptoms have returned, so they can continue on with their recovery process. If the person has had the right kind of treatment, preferably cognitive-behavioral therapy, they can go back to what they've learned in the past and reapply those skills. And that can lead to depression.