Your best bet is to return the router and exchange it. Odds are the collet is damaged and there is small chance you will be able to buy a replacement. If this is not an option you could try using a penetrating oil to loosen the collet, heat from a hair dryer might help too. If this works you have to clean every bit of the oil off both the collet and shaft using brake cleaner. Warning: the brake cleaner will damage your routers case so only apply it to the collet and inside of the shaft. Good luck.
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