Remarkably, on rare occasions, I've had my collet chuck not seat properly for some unknown reason. Having exhausted all other possibilities, it was worth a shot to take a look. It was undetectable to my eye but removing it, clearing the threads, then reseating it corrected the issue.
There are not a lot of moving parts to a collet chuck/mandrel setup and for the most part they are machined to very exacting tolerances... far beyond what would be required for woodturning. Inspect each respective part individually and you will easily find the culprit.