In addition to the other advice, some collet nuts will be loose but still
not open enough to accept a bit. This is true on a lot of self extracting
collets. Try loosening the collet 2 or 3 more turns. You may find that
the
nut gets tighter to turn "again" while loosening and then start turning
freely again.
I opened the collet full to the end. Inside is a ring, conic shaped on the
external surface, cilindric on the internal, with a longitudinal cut to
allow the bit get pressed by the collet. I hope not to damage anything...