I tell my therapist I’m scared of the 3rd, 9th, and 15th letter of the alphabet.
Doctor: Oh, I see.
Me: Ahhhh!!!!!
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Explanation
Explain Bear
Listen up, dummy! The joke is that the dude is scared of the letters C, I, and O. When the doctor says "Oh, I see," he's unintentionally saying "CIO", which is why the guy screams. Get it? Probs not, I guess.