Yeah, it could be anxiety. What other symptoms do you have? How long have you had this problem? Do you have it mainly at night, day, after eating?
EDIT: Like you say the doctor didn't find anything wrong with you, then most probably you have a psychological problem, such as anxiety. If not that, then breathing problems at night quite possibly are linked to an allergy. Dust mite allergy causes breathing problems in most.
I would advise you go see the doctor again, and tell him you think you might be suffering from anxiety, or an allergy- dust mite allergy possibly. In the mean time, drink Chamomile tea, 2 to 3 cups a day, it should help with the anxiety, and stress, and breathing. Let me know how you get on.
EDIT: Lol you don't have to be a sad or depressed person to have anxiety lol. The symptoms you're mentioning are classic symptoms of anxiety. Try not to worry, just stay punctual in your prayers, zikr, try to sleep in the state of Wuzu, sleep on your right side. Don't forget the Chamomile tea. You'll be fine....