Behavioral therapy is a treatment that helps change potentially self-destructing behaviors. It is also called behavioral modification or cognitive behavioral therapy.Medical professionals use this type of therapy to replace bad habits with good ones. The therapy also helps you cope with difficult situations.It is most often used to treat anxiety disorders.t is also called behavioral modification or cognitive behavioral therapy. Medical professionals use this type of therapy to replace bad habits with good ones. The therapy also helps you cope with difficult situations. It is most often used to treat anxiety disorders.