Try wearing some yellow kith hen washing up gloves. This will give you loads of non slip grip and it therefore means you don't have to squeeze the filter so hard ( and deform it's shape) when trying to unscrew it.

Try a temperature change, not knowing the materials of the lens and filter put it somewhere warm for half an hour and try again. If that doesn't work try again getting it cold by putting it in the fridge
Try wearing some yellow kith hen washing up gloves. This will give you loads of non slip grip and it therefore means you don't have to squeeze the filter so hard ( and deform it's shape) when trying to unscrew it.
@posiview. Andy, put an elastic band around the gripped part of the thread. Hold the lee filter holder in a cloth and firmly turn the filter anti-clockwise.
If this doesn't work (it might take a few attempts) then put it in the fridge to cool the metal which will hopefully contract the metals very very slightly but hopefully enough to just give you a little release then using the rubber band to help grip try releasing again.
Good luck.
If all else fails contact Lee - found them really helpful in the past and worth about £6 Postage if the suggestions above don't work!