Those are grippy socks. They’re often given to patients when they’re admitted to hospital. Over the past few years they’ve become synonymous with being admitted to a mental health ward.

The meme is saying that they’re afraid of being honest to their therapist because their therapist might admit them to a psych ward against their will.

Psych Ward Socks | Know Your Meme. A version of the meme I posted is even used in there as an example, funnily enough.