What do I do when my physical therapy for my ankles hurt more than not doing pt?

Ask your doctor. If a doctor sent you for the therapy contact your doctor and ask them. Do not assume "no pain no gain". Stop the therapy until you get your answer.
Talk. You need to discuss this with your therapist and your doctor.
Seek further care. You first need to determine if the pain is worse because of the injury or because the muscles are doing exercises they are not used to doing, as in they are out of shape. If the latter, it should get better. If the former i would revisit my physician for further evaluation.