Diagnosis
This is a classic issue. Minerals in hard water or dirt can act like cement in the threads between the wand and the spray tip quick-connect. It's not broken, just stubbornly stuck.
How to Fix It
Don't use pliers on the plastic—you'll crush it. Here's the shop teacher method. 1) Put on work gloves for grip. 2) Grasp the silver quick-connect collar firmly with one hand. 3) With your other hand, grip the black wand itself, close to the collar. 4) Twist counter-clockwise (lefty-loosey) with a firm, steady pressure. The trick is to isolate the force to the connection, not bend the whole wand. If it won't budge, spray a little penetrating oil (like WD-40) into the seam and let it sit for 10 minutes before trying again.
If That Didn't Work
Apply some heat. Use a hair dryer on high to warm up the metal quick-connect collar for a minute or two. Metal expands faster than plastic, which can break the bond. Wear a glove, then try twisting it off again.
Heads Up
To prevent this in the future, after each use, disconnect the spray tip and give the threads on both the tip and the wand a quick wipe. A tiny dab of silicone grease on the threads once a year works wonders, but keep it away from the O-ring seals.