We Do Not Know...
...but it makes sense that not all are turned.
We know from Season 5 Episode 8, "Hardhome", that the wights are created manually, this time by the Night King.
Then in Season 7 Episode 6, "Beyond the Wall", this is confirmed by Jon's comment:
When you killed the white walker, almost all the dead that followed it fell.
Maybe he was the one who turned them.
The main reason that they'd want to reanimate all their victims is that the wights strength comes in strength in numbers. A single wight can easily be taken care of and their attacks seem quite haphazard.
However, not all victims of an attack are going to be suitable for reanimation, some may be missing limbs, heads etc. We also don't know how the reanimation works, if it's limited by radius or line of sight it won't be feasible to go round every single corpse to reanimate it. Therefore, it is safe to assume not all victims are reanimated.
We also know that not all corpses are reanimated straight away so the White Walkers could potentially forget to go back and turn them. In Season 1 Episode 1, "Winter is Coming", the wildling camp that has been destroyed with all the wildlings killed, the corpses are still corpses when the rangers find them initially. Then later on when the corpses have moved it is because a White Walker has turned them to wights.
Another note is that someone could be injured by the wights, escape and die later on. I doubt the White Walkers would follow that person to turn them.