Cannot change Connection Information in admin interface

I believe that you have some or all of these defined somewhere, probably wp-config.php.

define('FTP_PUBKEY', '/home/username/.ssh/id_rsa.pub');
define('FTP_PRIKEY', '/home/username/.ssh/id_rsa');
define('FTP_USER', 'username');
define('FTP_PASS', 'password');
define('FTP_HOST', 'ftp.example.org');
define('FTP_SSL', false);

http://codex.wordpress.org/Editing_wp-config.php

I am able to duplicate the issue and resolve it by manipulating those constants.