I'm the same. I spend about a year when even in warm months I was staying with blanket when I was in my new room, as it has a lot of windows and light, and it's right next to balcony connected to another room. It's silly but I felt too exposed. Also it's in front of a park so in the summer there would be people drinking right out front and I would hear them late at night. It was really stressful. I also used to close both doors of the room and have headphones on constantly for that same reason. It's muuuch better now, it will improve as you get better.
But I do still on occasion have days when I just want to be more closed, feel safer. But it's much more rare than before. Just hang on, gets better. Also, nothing wrong with a nice fluffy blanket wrapped around you.
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