It sounds like you are leaving the presser foot in the down position and trying to pull the thread backwards (to un-thread).
If not, or you are pulling it forward (toward the needle) then the thread might be getting caught up somewhere else - like in the little notch that some thread spools have to "hook" the thread end onto.
Other than a vintage machine, I have not and probably will not clean or disassemble the tension on a "modern" machine. I'd rather bring it in to the dealer and let the experts look at it. I'm a wimp when it comes to my machine, I know my comfort zone and more importantly, the distance and $$ to the dealer :)