Hi Bill. Welcome to our little corner of the 'net.
It sounds to me like maybe the collet was not tight enough. Maybe, as Charles suggested, dirt in the collet, or on the shaft of the bit. Or, maybe a burr of some kind on the shaft. Or, and this is a very common thing, you bottomed the bit in the router and then tightened the collet. The collets are designed to pull the bit down slightly when it is tightened. If it can't pull the bit, then it will not tighten properly. This the reason for the grommet that Tom mentioned... the bit rests on the grommet, and then the collet can tighten properly by pulling the bit down against the grommet. This also ensures that your bits are always the same height in the collet.
Sometimes I wonder whether the world is being run by smart people who are putting us on
or by imbeciles who really mean it.