This is familiar to owners of some older cars. (40-year-old aircooled classics, for example.) Most often, the brake hoses are acting as a check-valve as noted. Crack a bleeder just like Mech said, if the brake releases at that point you know that pressure is being trapped in the caliper, and the #1 suspect is the brake hose.
If that doesn't make the caliper release, then you continue searching for other problems, like calipers that need rebuilding or replacing again.
-soD
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