He's getting anxious because he sees himself as the leader of his pack, which consists of YOU. Because of his dominant state, he is responsible for his pack and when you leave, he sees himself as failing to keep HIS pack safe. Thus, the way to cure this behavioral issue is to instill yourself as pack leader, the dominant one in the house.

To do this, I recommend watching The Dog Whisperer on the National Geographic Channel. An acquaintance of mine has an adult boxer who is wonderful because he implements Cesar Millan's techniques, and a friend has a siberian husky who is a great dog because she uses these techniques.