Immersive experiences in green areas, particularly in forests, have long been known to produce beneficial effects for human health. However, the exact determinants and mechanisms leading to healthy outcomes remain to be elucidated. The purpose of this observational cohort study was to investigate whether inhaling plant-emitted biogenic volatile compounds, namely monoterpenes (MTs), can produce specific effects on anxiety symptoms. Data from 505 subjects participating in 39 structured forest therapy sessions at different Italian sites were collected. The air concentration of monoterpenes was measured at each site. STAI state questionnaires were administered before and after the sessions as a measure of anxiety. A propensity score matching analysis was then performed, considering an above-average exposure to inhalable air MTs as the treatment. The estimated effect was −1.28 STAI-S points (95% C.I. −2.51 to −0.06, p = 0.04), indicating that the average effect of exposure to high MT air concentrations during forest therapy sessions was to decrease anxiety symptoms.