I know that the material is specially made for sports and I respect the fact that some women don't feel comfortable unless wearing the jilbab but practicality and safety in sports is important.
I think these sport suits I found on Primo Moda, an online hijab store, are a far more practical alternatives to the jibab while still maintaining an appropriate level of modesty:
If you do not like the idea of wearing these then you could join a ladies only gym which are avaliable in some places.
P.S. This is simply my opinion and I do not intend to offend anyone who wears the sports jilbab.