Hi Kathy,
The User Story states are independent and separate of the times boxes (releases, iterations, milestones etc..). Technically, you can change the state of a user story regardless of the time-box it belongs to or even if doesn't belong to any.
Specifically in your case, it sounds like the 'Released' state is a custom state you created, but it doesn't correspond to the actual Release time-box object.
Thanks,
Sagi