Nothing's wrong: This is how it is supposed to be.
PNG images use lossless compression, whereas JPEG uses lossy compression. Lossy compression lets you reduce the file size, but it is not reversible.
When you convert from a lossy JPEG picture, which stores the data in blocks, to a PNG image, which stores pixel-by-pixel values in a bitmap, you will increase the size needed to represent the data.*
So, converting a PNG into JPEG will (usually) reduce the size, but this is not possible the other way round.
* Unless the data was easy to compress with a lossless algorithm, for example because it was an image with a flat, solid color.