In the TV show beginning in 2012, Raphael does this at least once, when one of Leatherhead's booby traps flies at his head.  

[![enter image description here][1]][1]

Michelangelo also retracts completely into his shell at least once.

[![enter image description here][2]][2]

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

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

In the 1990 movie, Michelangelo does it twice, the others do it once.  In the comics, I think they all do it once, but I could be wrong.  And as Richard notes, they all do it in the recent reboot.

For example, Leonardo:   
[![enter image description here][4]][4]


  [1]: https://i.sstatic.net/3BCsx.gif
  [2]: https://i.sstatic.net/xQHBW.gif
  [3]: https://i.sstatic.net/A4672.gif
  [4]: https://i.sstatic.net/wUSKs.gif