You may not have opened up (manually reset) the brake pistons sufficiently. Typically, I remove the brake pads and use a plastic tire lever to push pistons back as far as possible. If do not push hard enough you will not fully reset the pistons and the pads will still rub.
Aside - for those new to hydraulic brakes, most systems automatically set the pad rotor distance to accommodate for wear whenever you activate the brakes. If remove your wheel and squeeze your brake lever, the pistons reset for a closer distance because the rotor is no longer there to stop the pads. As a result, you cannot get your wheel and rotor back in. You fix this by resetting the pistons as described above. Also if you change your brake pads you will also need manually reset the pistons.
You may also find this Shimano tech document on resetting Shimano hydraulic brakes useful. Most other hydraulics will operate in a similar manner.