There have been a lot of results which illustrate that knowledge anxiety is an important reason of knowledge payment, however, its specific mechanism still needs to be deepened, and whether knowledge payment has effects on anxiety mentality in return also needs further research. Specifically, this paper deepens the expert system theory, one of Giddens' disembedding mechanisms, and reveals a stepped expert system theory (SEST) which contains inherent contradiction. With the help of SEST, this paper tries to demonstrate that knowledge anxiety is not only a precondition but also a consequence of knowledge payment, as people will reproduce knowledge anxiety in the process of paying for knowledge. In this regard, this paper argues that consumers consider knowledge payment mostly as a strategy for self-improvement, which is more often than not a seemingly practicable but physically helpless action under the pressure of reality.