I was confused by this too. Here's the trick: When you inflate the mattress, you unscrew the square-shaped plastic cap, like this:
But this is *not* the cap you unscrew to deflate it!To deflate it, you have to unscrew the plastic at the *round* part that's beneath the square cape -- i.e. the part of the plastic that's affixed directly to the mattress. When you unscrew the round part, the entire plastic apparatus detaches from the mattress, leaving a big open round hole where the air rushes out.It looks like this: