I am having an extremely difficult time threading in my 1/4" collet onto my router11, as soon as it feels friction I go to tighten and it just breaks back to completely loose. The 1/8" collet tightens right up no problems.
Are you sure the collet is pressed into the collet nut properly before installing it (PS: Ordering a couple extra ER11 nuts avoids the need to keep swopping collets in and out of the nut)
I had issues as well because I was unaware of how they worked. I was inserting them like a regular router collet and not snapping them into the retention ring. Luckily I only made a couple of rough cuts a few weeks back before someone was nice enough to post a picture similar to this one which resolved my problem: Great tip. I need to order a couple collets. I found out the 8mm ER11 is very difficult to remove.