They don't have a direct meaning in Chinese, just like how "Emily" doesn't have a direct meaning in English.
However, the individual characters do have meanings:
* 艾 (Aì) means "love" or "kind".
* 米 (Mǐ) means "rice".
* 莉 (Lì) means "lily" or "jasmine".
It's common for Chinese people to use pinyin transliterations of foreign names. They often choose characters that sound similar to the name and may have positive meanings.