Diagnosis
The collet nut is seized, usually from heat and resin buildup. The tapered collet is wedged onto the bit shaft.
How to Fix It
Secure the router base in a vise. Use the supplied pin wrench in the collet nut holes. Strike the end of the pin wrench handle sharply with a mallet in the loosening direction. The impact will break the taper free. Never use heat on the collet.
If That Didn't Work
The bit shaft may have corroded or fused to the collet. Apply a drop of penetrating oil (like WD-40 Specialist Penetrant) to the bit shaft where it enters the collet. Wait 10 minutes, then try the impact method again.
Heads Up
Always clean the bit shaft and inside the collet with a brush before inserting a new bit. This prevents future seizing.