Barry is right, make sure to tighten it while hot, but don’t use pliers on the side with wires.
The other thing some people get wrong is, you want to tighten the nozzle to the throat, not the actual heater block. So if your nozzle is threaded all the way into the block it probably isn’t tight enough. It should look like there is a washer missing at the nozzle. Does that make sense? I took the wraps off a new nozzle so hopefully you can see what I mean in the picture.