##[2012 Nickelodeon Cartoon][1]:

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

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

Michelangelo also retracts completely into his shell at least once.

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

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

[![enter image description here][4]][4]

They've even released a line of toys based on the 2012 cartoon series called "[Head Droppin' Turtles][5]"

[![enter image description here][6]][6][![enter image description here][7]][7]

##[1990 Movie][8]:  

Michelangelo does it twice, the others do it once.  

##[Comics][9]:

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

##[2014 Movie][10]:  

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

For example, Leonardo:   
[![enter image description here][11]][11]


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