A rotary tool includes a housing, a tool holder, and a wrench assembly. The housing includes an end portion having external threads. The tool holder extends from the end portion and includes a fastening member configured for movement between an unclamped position and a clamped position in which the tool holder can engage a tool. The wrench assembly includes a body portion and a wrench member. The body portion includes (i) a plurality of internal threads configured to meshingly engage the external threads and (ii) an opening through which a portion of the tool holder extends when the internal threads are meshingly engaged to the external threads. The wrench member includes a wrench surface configured to engage the fastening member.