You are not giving the whole path while renaming, do it like this:
import os
path="/Users/myName/Desktop/directory"
files = os.listdir(path)
for index, file in enumerate(files):
os.rename(os.path.join(path, file), os.path.join(path, ''.join([str(index), '.jpg'])))
Edit: Thanks to tavo, The first solution would move the file to the current directory, fixed that.