In the TV show beginning in 2012, 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 once:
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:
