The kind of "privacy" you get by using a VPN or avoiding Facebook tracking your web browsing is absolutely not appropriate for using against a threat model that includes three-letter agencies or even, frankly, the local cops. They can just, like, come to your house when you aren't there and bug it. Point a camera at your screen, station a dude in the closet, replace the computer with a cunningly painted cardboard replica of the computer which is a spy, etc. Or from the other end, they simply exploit a zero-day in every one of your seven proxies, because they care enough about catching you to burn them.

Sometimes the threat model says you just lose and you can't actually get what you want by using computers, because you have an information technology hammer and a fundamentally legal or political problem.

If you think the police are actually on to your crimes, stop doing those crimes! If the crimes needed doing for some reason, someone else less likely to be known to the police will probably do them instead, and you can surely find less-crimey ways to further whatever they were meant to accomplish. If you're in it for yourself for some sort of personal gain, quit while you're ahead.

If you think you're drastically overestimating the likelihood that the police are after you for your crimes, and it is affecting your ability to function, that's definitely a problem for your therapist. Presumably one who doesn't insist you explain your various crimes to them in detail, a thing which your lawyer (which you also maybe need?) might have concerns about.