##[Comics][1]:

I think they all do it at least once, but I could be wrong.  

In [Image Comics *Teenage Mutant Ninja Turtles: Vol. III; #1*][2], Donatello retracts his head into his shell during a long fall:

[![enter image description here][3]][3]


##[2012 Nickelodeon Cartoon][4]:

Raphael does this at least once, when one of Leatherhead's booby traps flies at his head.  

[![enter image description here][5]][5]

Michelangelo also retracts completely into his shell at least once.

[![enter image description here][6]][6]

And pulls only his head into his shell at least twice:

[![enter image description here][7]][7][![enter image description here][8]][8]

They've even released a line of toys based on the 2012 cartoon series called "[Head Droppin' Turtles][9]"

[![enter image description here][10]][10][![enter image description here][11]][11]

##[1990 Movie Series][12]:  

In the first movie, Michelangelo does it once.  

In the second movie, they all do it at least once:


[![enter image description here][13]][13]


##[2014 Movie][14]:  

As Richard notes, they all do it in the recent reboot.

For example, Leonardo:   
[![enter image description here][15]][15]


  [1]: https://en.wikipedia.org/wiki/Teenage_Mutant_Ninja_Turtles#Comics
  [2]: http://www.miragelicensing.com/comics/image/01/01.html
  [3]: https://i.sstatic.net/VrvUP.jpg
  [4]: https://en.wikipedia.org/wiki/Teenage_Mutant_Ninja_Turtles_(2012_TV_series)
  [5]: https://i.sstatic.net/3BCsx.gif
  [6]: https://i.sstatic.net/xQHBW.gif
  [7]: https://i.sstatic.net/A4672.gif
  [8]: https://i.sstatic.net/NsKQj.gif
  [9]: http://www.amazon.com/Teenage-Mutant-Ninja-Turtles-Leonardo/dp/B00SNA0O5U
  [10]: https://i.sstatic.net/CaANGm.jpg
  [11]: https://i.sstatic.net/KvEH3m.jpg
  [12]: https://en.wikipedia.org/wiki/Teenage_Mutant_Ninja_Turtles_(1990_film)
  [13]: https://i.sstatic.net/RUa3H.gif
  [14]: https://en.wikipedia.org/wiki/Teenage_Mutant_Ninja_Turtles_(2014_film)
  [15]: https://i.sstatic.net/wUSKs.gif