Something aside from the tool itself/cutting speeds; if your collet is oriented improperly in the nut it will cause unequal stress on the bit and may cause the fracture 'in the collet' as you're stating. ger21 is correct 99% of breaks caused by stress from material will shear off at the collet not inside, this is odd.
Here a quick document on proper spindle colleting:
http://www.docs.technorouters.com/im..._Colleting.pdf
Not saying it's the primary cause but it may be a contributor.
EDIT: Do you have any pictures of the broken tool? In or out of the collet.
Christopher @Techno Inc. CNC Router Systems
Tech Services Department (http://technorouters.com/help TechnoWiki)