A wave, pushed by one behind it, slid so far up the slant of sand, their feet were delicately shocked and soaked. For a few seconds their ankles glittered in rippling sleeves of retreating water.
What are water sleeves?
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A sleeve is not only a part of a shirt / clothing, but in a more figurative sense a sheath-like object that surrounds something.
In your example, the water flows around and possibly somewhat up the ankles of the persons described, forming "water socks":