Bob is right. The standard zerk fitting can make the grease gun fitting very difficult to remove when it has pressure on it from the grease being forced into where it goes. If the fitting pressure-locks onto the zerk, you should be able to unscrew the gun fitting from the grease gun and relieve the captured pressure. Once the pressure is relieved, the gun fitting sould come off the zerk a lot easier. Sometimes you have to apply some side load to it to get the connection to sort of cam apart. 😉
-Ben