DIAGNOSIS The spring-loaded locking pin inside the clamp is jammed, usually by sawdust, metal shavings, or a bent blade tang. It's a quick-release system, so it should pop free easily when you pull the collar back.
FIX Don't just yank on it. First, remove the battery. Get a can of compressed air or a small stiff brush (a dry paintbrush works). Pull the blade release collar back as far as it will go and blast or brush out all the debris you can see in the slot. Then, take a pair of needle-nose pliers and try to gently wiggle and pull the blade straight out. Often, breaking the initial seal of grime is all it takes.
IF THAT DIDN'T WORK If the blade is truly welded in by a bent tang, you might have to sacrifice it. Use locking pliers (Vise-Grips) to get a solid grip on the blade as close to the clamp as possible and twist it back and forth while pulling. The blade will likely break, but then you can remove the remnant and clean the clamp thoroughly.
HEADS UP To prevent this, get in the habit of blowing out the blade clamp with air after every few cuts, especially when cutting metal or dirty wood. A little preventative maintenance saves a huge headache.