Take the nut off and lay the router on its side and using a hammer and pin punch, or something similar, tap all around the collet. Be careful not to hit the threads on the shaft. It will eventually loosen up. You should probably replace the collet after. The slits in the collet will be squeezed together and you probably won't be able to get a bit in it now unless you spread the slits apart again and I don't know how reliable that will be.
Someone I consider a master woodworker once told me that a master woodworker is not someone who never makes mistakes. He is someone who is able to cover them up so that no one can tell.