The high degree of sensory immersion is a distinctive feature of head-mounted virtual reality (VR) systems. While the visual detachment from the real world enables unique immersive experiences, users risk collisions due to their inability to perceive physical obstacles in their environment. Even the mere anticipation of a collision can adversely affect the overall experience and erode user confidence in the VR system. However, there are currently no valid tools for assessing collision anxiety. We present the iterative development and validation of the Collision Anxiety Questionnaire (CAQ), involving an exploratory and a confirmatory factor analysis with a total of 159 participants. The results provide evidence for both discriminant and convergent validity and a good model fit for the final CAQ with three subscales: general collision anxiety, orientation, and interpersonal collision anxiety. By utilizing the CAQ, researchers can examine potential confounding effects of collision anxiety and evaluate methods for its mitigation.