Which models? There are different collet designs between Bosch and DeWalt/Trend/Elu. The latter ones need more undoing of the nut to come free. I *think* the Bosch ones wear faster, but I haven't got much to go on - my Bosch is small, handheld and heavily used, so it may just be it's been used a lot more.
If they're really sticking, you may need to replace the collets and possibly the nuts too. It does sound a bit like they're worn, which is bad news for the shanks of the cutters and not dreadfully safe either (if they don't grip they can slip). New bits for most brands from Miles Tools in Shepton Mallet and a number of other places.
HTH,
E.