The continuation monad is the counterexample you are looking for. I'm not knowledgeable enough to provide a full proof but I'll give you a couple of references to look up.
The idea is that monads have a concept of "rank" associated with them. "Rank" roughly means
the number of operations needed to provide the full functionality of the monad.
I suspect that, with the exception of continuation-derived monads, all the monads we deal with in Haskell have rank, e.g. Identity
, Maybe
, State s
, Either e
, ..., and their combinations through their transformers. For example, Identity
is generated by no operations, Maybe
is generated by Nothing
, State s
by get
and put s
and Either e
by Left e
. (Perhaps this shows they all in fact have finite rank, or perhaps put s
counts as a different operation for each s
, so State s
has the rank of the size of s
, I'm not sure.)
Free monads certainly have rank because Free f
is explicitly generated by the operations encoded by f
.
Here is a technical definition of rank, but it's not very enlightening: http://journals.cambridge.org/action/displayAbstract?aid=4759448
Here you can see the claim that the continuation monad does not have rank: http://www.cs.bham.ac.uk/~hxt/cw04/hyland.pdf. I'm not sure how they prove that, but the implication is that the continuation monad is not generated by any collection of operations and thus cannot be expressed as (a quotient of) a free monad.
Hopefully someone can come along and tidy up my technicalities, but this is the structure of the proof you want.