I had left a tool in my spindle for about a month while traveling and when I got back I could not get it to release. I searched the forum here and found a thread saying it may need a little persuasion. I was able to get the tip of a large screwdriver between the collar of the tool holder and the base of the spindle. It just took a bit of light prying but it popped right out.
I make sure the tools are out of the spindle when I’m not going to be around the machine for a while.
The heating is another good reason. I suppose the rate of thermal expansion between the tool holder and the spindle could be different enough to cause some sticking upon cooling.