Metric learning minimizes the gap between similar (positive) pairs of data points and increases the separation of dissimilar (negative) pairs, aiming at capturing the underlying data structure and enhancing the performance of tasks like audio-visual cross-modal retrieval (AV-CMR). Recent works employ sampling methods to select impactful data points from the embedding space during training. However, the model training fails to fully explore the space due to the scarcity of training data points, resulting in an incomplete representation of the overall positive and negative distributions. In this paper, we propose an innovative Anchor-aware Deep Metric Learning (AADML) method to address this challenge by uncovering the underlying correlations among existing data points, which enhances the quality of the shared embedding space. Specifically, our method establishes a correlation graph-based manifold structure by considering the dependencies between each sample as the anchor and its semantically similar samples. Through dynamic weighting of the correlations within this underlying manifold structure using an attention-driven mechanism, Anchor Awareness (AA) scores are obtained for each anchor. These AA scores serve as data proxies to compute relative distances in metric learning approaches. Extensive experiments conducted on two audio-visual benchmark datasets demonstrate the effectiveness of our proposed AADML method, significantly surpassing state-of-the-art models. Furthermore, we investigate the integration of AA proxies with various metric learning methods, further highlighting the efficacy of our approach.