DIAGNOSIS The blade clamp mechanism isn't locking properly. On the XRJ05Z, it's a tool-less, keyed chuck. The most likely culprit is debris—metal shavings, wood dust—jammed in the blade slot or under the locking collar.
FIX First, retract the locking collar all the way back (toward the handle). Take the saw and blow it out aggressively with compressed air, focusing on the blade slot and the moving parts of the collar. If you don't have compressed air, use a small brush (like a clean paintbrush) to sweep out the channel. Then, without a blade inserted, work the locking collar back and forth a few times to try and dislodge anything stuck. Insert a blade firmly and push the collar forward until it clicks. Give the blade a good tug to test.
IF THAT DIDN'T WORK The internal spring or the locking pins inside the chuck might be damaged or worn. This isn't a user-serviceable part on most models; the whole shoe and blade clamp assembly (part of the gear housing) would need to be replaced.
HEADS UP Always make sure the blade is fully seated against the back of the chuck before locking. If you try to lock it when the blade is only halfway in, you can damage the locking pins, and that looseness will become permanent.