I'm not 100% sure without seeing it, but it sounds like you may not have removed the entire showerhead. Most of the showerheads I've seen have a ball in the showerhead itself so the head can swivel. Are you sure you cant unscrew the ball from the shower arm? If you cant, shower arms are screwed into a drop ear ell behind the wall most often. You should be able to unscrew the entire shower arm and replace it. When replacing, be sure to use some teflon tape and/or pipe dope on the threads. I insert one of the handles of a 6" set of channel locks into the showerarm to turn it thereby avoiding scratching the chrome. Let us know how it turns out and hope this helps.
Good luck