If you have run it in 4x4 while on concrete or very hard ground, the drive line may be wound up tight, preventing the 4x4 system from disengaging. Try backing up a few feet, then try it. If you have a FEL on it, try lifting the front end with it and then try to disengage.
Well I backed it a few feet trying as I went, no go, then I lifted the front and tried, no go. I guess the dealer where I bought will be next. Still trying though
Finally got the 4x4 to release, he hardware going into the main case was rusted up very bad. Lots of solvent and a little persuasion with pliers did the trick. That means lubing that often to avoid a stuck 4x4. Thanks to all for the help you gave me.