Phobia comes from a sort a defensive mechanism. It is way to localize, in time and space, an anxiety that is more general, a fear that we all share but which in certain contexts, for subjects in certain situations, simply becomes unbearable. In Freud's world, all little boys fear to be devoured by their fathers. But, in the case of little Hans, the conflict between his fear and his love for his father was simply too much. The displacement that made him fear horses instead of his father made the situation easier. He could talk about it. He could feel safe provided there was no horse around.

Or windows. As long as I don't come close to a window, I am safe. Or open spaces. I am safe if I remain inside, whereas I would never be safe (and I would be so ashamed, and it would so much worse) if I knew that what I really feared was to turn into a sexual maniac. Thus phobia protects the subject from a deeper anxiety. The price to pay is a limitation of one's capabilities: no longer being able to walk outside:

In the end the patient may have got rid of all his anxiety, but only at the price of subjecting himself to all kinds of inhibitions and restrictions. […] Nothing is left for [the libido] but to cut off access to every possible occasion that might lead to the development of anxiety, by erecting mental barriers in the nature of precautions, inhibitions, or prohibitions; and it is these defensive structures that appear to us in the form of phobias and that constitute to our eyes the essence of the disease. (Two Cases, "Little Hans", 2100)

In the German text, phobia is more than a defensive structure. It is a “Vorbau,” a defensive structure certainly, but built a little outside of the castle, in what might become enemy territory. A phobia is a piece of one's anxiety, set out in the outside world so as to better protect oneself: “The phobic defensive structure [Vorbau] corresponds to such an enclave of the unconscious influence” (Das Unbewusste, 408).

Thus, there is a gain in phobia. A price to pay but a benefit. The "I" is free from its anxiety. That is why, provided the phobia is not too incapacitating, the I clings to its phobias. It does not want to get rid of them. The subject senses that there is a risk, which would be to fall back into an all encompassing anxiety, whereas the phobic fear only comes up when the object, the horse for instance, appears:

Thereafter the anxiety is held in ban by the phobia, but it re-emerges whenever the protective stipulation cannot be fulfilled. The mechanism of phobia does good service as a means of defense and tends to be very stable. (Inhibitions …, 90)

The I, then, does not understand its phobias. The mechanism of phobias is completely opaque to the I, the conscious subject. If it were not, it would not work. If I know that I am afraid of horses because in every horse I see my father, of whom I am really afraid, then I would no longer be afraid of horses. But, as we saw on the last page, with the example of the phobia of windows explained to Fliess, the I misunderstands its fear. What is left in the conscious sphere of the initial fear is the image of the window. So I try to find a reason why I should be afraid of windows. I imagine that I am afraid of falling through windows. But I am working in the wrong direction. The real cause of my fear is elsewhere: walking to a window, I desire to beckon men passing in the street as prostitutes do. Or, walking into the streets, I am afraid of yielding to unbecoming desires, and now I become afraid of walking into the streets. But I will not find out this source of my fear through reasoning, intelligence. Psychoanalysis depends on the assumption that in order to understand ourselves, we must use another kind of logic, a mode of analysis that Freud has devised in his Interpretations of Dreams. That which produces in us dreams does not work logically, but instead through various processes, displacement, condensation, which cannot be deconstructed by logical analysis, by what we call reason.