The study's objective was to investigate in a non-clinical population the association between cannabis use and anxiety in daily life using the Experience Sampling Method (ESM). Seventy-nine subjects with high or low levels of cannabis use were selected among a sample of 685 undergraduate university students. ESM was used to collect information on cannabis use and state-anxiety in daily life. DSM-IV diagnoses were assessed using a structured clinical interview. Statistical analyses were performed using multilevel linear random regression models. There was no significant association between the level of state anxiety and cannabis use in daily life. However, a diagnosis of agoraphobia was significantly associated with increased likelihood of cannabis use, independent of state anxiety and other confounding factors. No evidence was found for an anxiolytic or anxiogenic effect of cannabis in daily life. This finding does not support the hypothesis that subjects with high levels of anxiety use cannabis as a means of self-medication. The association between agoraphobia and cannabis use in daily life may be explained by anticipatory anxiety secondary to previous cannabis-induced panic-like symptoms.