Having protein show up in urine after exercise is normal and nothign to be worried about and within a day or so the protein levels in your urine should return to normal.
The reason that people get protein in their urine after exercise is because of glomerular filtration.
When you exercise the exercise increases your glomerular filtration of low-molecular-weight proteins (β2-microglobulin), which then overwhelm the reabsorbing capacity of the tubular apparatus, causing temporary dysfunction and tubular proteinuria.
If the levels of protein don't go back down after a day or so of exercising then something could be wrong and a doctor would need to examine you.
Too much protein in urine can lead to kidney disease and possible kidney failure.