You are correct that it is a good idea to use teflon tape on the threaded fittings, however no sealant is required or advised on the quick-connect part itself. These are designed to seal using internal o-rings.
There are multiple types of quick-connect air line fittings that at first glance appear similar, but are not necessarily compatible. It is very likely that you have connected two incompatible types, resulting in a leak. This is very common.
The two "main" types are often referred to as "automotive" and "industrial", though each can have sub-types that are typically letter designations, e.g. Industrial can be M, H or G. There's also a type called ARO, and one called Lincoln, but these are somewhat less common (at least in the US consumer market).
(image from Legacy Manufacturing)
The documentation for your air compressor may specify exactly which type of fitting you have. Otherwise head to the local big box store with your male coupling that leaks, and look for a similar-while-slightly-different male coupler to try.
Legacy manufacturing has published a very informative guide on the evolution of the various types of quick-connect fittings that lists the common types in use, with some images of each.
Milton Industries has also published a document that may help identify the type of plug you have, though their letter designations may not exactly match those of other manufactuers.