Hi there Tom, welcome to HealingWell.
Im not going to claim to be a drug expert here. I have not had experience with Effexor XR before so I am unsure of its exact implications. It does sound like you need to explain this to your doctor if the symptoms persist. (Personally I would wait for a couple of weeks to let your body get used to it)
Do these panic attacks only happen when you exercise at the gym? I.e. If you exercise at home, do you still have panic attacks? Maybe exercising at home would be a good substitute in the short-term while you get the anxiety under control.
I hope things start to pick up for you Tom.
Everyone has a guardian angel. They help pick you up when you fall, comfort you through your times of need and help you appreciate the times when things are going well.