In the absence of evidence-based screening recommendations for women with dense breasts, it is important to know if breast density notification increases women’s anxiety. This study describes psychological reactions and future screening intentions of women attending a public mammographic screening program in Western Australia. Two-thirds of notified women indicated that knowing their breast density made them feel informed, 21% described feeling anxious, and 23% confused. Of the notified women who reported anxiety, 96% intended to re-screen when due (compared to 91% of all notified women and 93% of controls; p = 0.007 and p < 0.001, respectively). In summary, reported anxiety (following breast density notification) appears to increase women’s intentions for future screening, not the reverse.