Eric, Chris,
If I was a betting man I'd say Eric is most likely spot on. I had forgotten about that arrangement. After seeing Eric's pictures, I thought, that is just like mine (a Craftsman). So I went out to the garage and looked, yep, that is exactly how the chuck is mounted on my Craftsman drill press.
Using Eric's instructions, if it has the threaded collar, yours should pop right off.
If yours does not have the collar above the chuck, the chuck itself may still be threaded and you can try turning the chuck rather than the collar.
The better design is the collar pulling the chuck up onto the #33 taper. Less run out that way, rather then when the chuck is just threaded on and only the threads control runout.