If the leak is explosive and air is rushing out then the valve is in the open position and needs to be closed – quickly!
It is easy to forget to check that the valve pin is in the ‘closed’ or up position before beginning to pump, resulting in the agony of having to re-pump the last few psi again to the soundtrack of your paddling friend’s merry derision. It happens!
Some valves (with a white button) are a "push and click" closure, while others (with an exposed screw head) are a "push & twist". These need to be quarter-turned in a clockwise direction to lock them in place.
If you're sure that the valve was closed before you connected it, the hose might be getting caught on the valve when you remove it. Make sure you pull the valve away from the board to disconnect rather than push it in.
If the leak is slow...
One of two things is happening; Either the two pieces that make up the valve are not screwed together tightly enough, failing to form an airtight seal, or there is dirt, dust, or some other object caught in the valve. Do not worry, the valves are removable and replaceable.
In the repair kit there is a spanner, a black plastic tool used to tighten the valve up. Deflate your board completely and position the spanner over the valve. Press down with your left hand on the spanner while turning with your right. This action grips the back of the valve in place while the top part tightens down on to the board! It’s a bit like a jam jar and its lid.
You can view full instructions for tightening your valve here.