I've never heard of this, but Effexor is one of the most difficult of all antidepressants to take and stop taking and so if this started only after you started this med, then maybe it is causing it. If you think it is, it's certainly worth discussing with your psychiatrist. If this is the first med you've ever tried and you haven't been on it very long, you might want to consider meds that are easier on people and save the hard ones for when other things failed.
That's not a side effect from Effexor I've heard before. How long have you been on it?