The coupler tips (i.e. the part that snaps onto the zerk) on most grease guns are adjustable to fit different size zerks. If this adjustment is cranked down all the way it will allow you to install the coupler onto a zerk but not remove it. Try turning the case of the tip while holding where it screws onto the hose. You should begin to see some really fine threads on the casing itself (i.e. not where it screws onto the hose). Adjust the tip as needed to fit your different size zerks - it only needs to be tightned just enough to where grease does not squirt out around the zerk when pumping grease.
Personally, I always leave my coupler rather loose so it is easy to install/remove and just hold pressure on the coupler with one hand while I pump grease with the other hand. (note: I only use a pistol grip grease guns which can be operated with 1 hand which leaves the other hand available to keep pressure on the coupler. I hate the traditional long lever guns which require 2 hands to operate the pumping action.)