Did your thread have some age on it to begin with? And even if you'd just bought it, depending on the store you got it from it might have been sitting for a long time. Thread, even on the spool, will deteriorate over time. Unwind about 18 inches and pull on it. If it breaks without some strong effort, don't use it. You didn't mention what type of fabric you used for your quilt, if the fabric has any stretch to it the quilting thread will break---Tshirt quilts without the right stabilizer, Polar fleece, any knit fabric, etc. With those you just about have to use some type of stretch stitch even if it's just a zigzag.