Bizjetjock,
You leave the gear down to act as a shock absorber for the impact...
While this may be a positive consequence of leaving the gear down, the actual reason for not retracting the gear is far more straight forward. On most larger A/C the gear doors open to lower the gear, then close again with the gear down. Selecting gear up requires the doors to sequence open again - and this causes additional drag right when you don't need it!
In a w/s go-around situation we make NO config changes until safely away and perf recovered.
B