For all of MDMA reputation as highly "user-friendly" drug, it is indeed possible to get anxiety or even "bad trip" on MDMA. In my experience, this kind of anxiety usually manifests itself due to the characteristics of your setting. Essentially if I am in a uncomfortable position or something bad happens or someone who I trust brakes this trust - my roll tends to go south. I think it's due to the inherent conflict between the "loved up" feelings of MDMA and negative vibes from my setting.
So yeah, when you roll and get anxiety, is something bothering you? Are you in a comfortable environment with cool people? Is there any thing other than MDMA itself that could be causing this anxiety?
If everything is fine with your setting, perhaps you just need try and do less? How much alcohol do you use in combination with MDMA? I like to have a beer or two before dropping or during the come-up. It usually helps me ease the come-up anxiety. But you were saying you get anxious when you are already high, right?