Observations appear as thoughts

For example when I'm feeling a little anxious, I might *think* "I'm feeling threatened". These thoughts makes me feel like I am not actually being mindful, because if I actually were then I wouldn't need to **think** about it, you know? It's kinda hard to explain, but I feel like I'm just fooling myself into believing I'm observing myself, when it's actually all happening within my thoughts. What's going on here? Am I misunderstanding something?