##Comics:
I think they all do it at least once, but I could be wrong.
In Image Comics Teenage Mutant Ninja Turtles: Vol. III; #1, Donatello retracts his head into his shell during a long fall:
Raphael does this at least once, when one of Leatherhead's booby traps flies at his head.
Michelangelo also retracts completely into his shell at least once.
And pulls only his head into his shell at least twice:
Leonardo does it unintentionally:
They've even released a line of toys based on the 2012 cartoon series called "Head Droppin' Turtles"
In the first movie, Michelangelo does it once.
In the second movie, they all do it at least once:
##2014 Movie:
As Richard notes, they also do it in the recent reboot.
For example, Leonardo:
