Are they crying when you pick them up again? When I worked at a preschool some kids would scream their heads off and as soon as mom or dad left all was good. If they aren't crying when you pick them up again, they don't hate it.
I agree with joe, if the issue is just bad drop offs, but everything seems on the up and up when you pick them up, I wouldn't worry about it. With toddlers, it is so much the age. My DS went through a solid 8 month period where he cried every day when I dropped him off at daycare, but after I left, he was fine and happy when I picked him up. I wouldn't stress about this at all.
I agree with joenali too - a lot of kids scream when dropped off and are fine once the parent is gone. If your kids are playing and having fun, they're likely fine. Does your gym childcare have a window or a video monitor so you can peek on them from the outside?
As soon as I'm out of sight, DD (28 months) is perfectly fine, and it's usually hard to get her to leave because she's having so much fun! I find it's best if I drop her off quickly - hanging around only escalates the problem.
Run Stroller Run is a family- and stroller-friendly race site that is your source for running races that allow parents to compete, jog or walk with their strollers (preferably jogging strollers). Find a race for you and your family at www.runstrollerrun.com.
Be happy and cheerful when you drop them off, and make it quick. "Have fun, I love you, see you soon!" My almost-5-year old still has moments of anxiety when we leave him (he went to gym daycare today) but we make sure he knows that we're doing something GOOD for our bodies, keeping us healthy and strong, so we can be good parents. Your kiddos are a bit young for that logic, though, so just hang in there and enjoy your workouts.