Diagnosis
The collet is seized due to heat, resin, or overtightening. This is common with 1/4" collets.
How to Fix It
Secure the router. Use the supplied wrench on the shaft lock. Use a second wrench on the collet nut. Tap the second wrench sharply with a mallet in the loosening direction. The shock should break it free. Never apply heat.
If That Didn't Work
The collet may be mechanically damaged. You need to replace the collet assembly. It's part #RYB311203. This requires removing the entire spindle assembly from the motor.
Heads Up
Do not use pliers or pipe wrenches. You will mar the collet and make it impossible to remove properly. Always use the correct pin wrench.