There are two possibilities， First one is that your stepper motor is broken. Second is that the thread rod was not inserted into the coupler properly. There are two small screws in the sides of coupler, Look at the picture.Click image for larger version.  Name: 1.png  Views: 400  Size: 43.9 KB  ID: 26887Click image for larger version.  Name: 2.png  Views: 373  Size: 64.1 KB  ID: 26888Click image for larger version.  Name: 3.png  Views: 372  Size: 44.6 KB  ID: 26889