The correct command should be:
convert animated.gif output.png
This will create output-0, output-1, output-2, etc. for each frame of animated gif.
As a side note, depending on how the GIF was processed, you may or may not get "full" frames. Some GIFs have frames that only contain partial data. These are the types of GIFs you would use -coalesce
on to reconstruct each individual frame i.e.
convert -coalesce animated.gif output.png
That said, you may wish to double check that the file you have is indeed an animated GIF. Anecdotally, I had an experience with giphy.com where an apparent error in conversion (they store "GIFs" as video) led to only a single frame being downloaded, even though it was still given a .gif extension.