Is it a steel wheel or an alloy? Some rust may have formed, and isn't allowing it to release.
If all 4 lugs are off, hit it harder (a few really firm kicks to the tire sidewall should do it; check that jack first!).
You could also try some penetrating oil by each lug, but don't let it get on a braking surface or pad/shoe.
If there's enough rust to hold the wheel on, I hope you don't need much brake work; probably more rust jamming things together in there.
