732fan - this thread has become clouded by the 747 gang. Ignore what happens there. For the 737 it is to leave the gear down. I assume from your questions that is what you are asking about. The procedures are laid down for each aircraft and should be followed. That is what you do.
If you ever get to trying 'severe' windshear (hopefully not for real!) in the sim, it is possible that ground contact can occur. On ALL aircraft (leave 707s and DC10s etc out of it), hitting the ground wheels down makes for a better day than wheels up (even if you leave part of your gear on the ground).
Once 'clear' of the shear, the clean-up takes place. Yes the a/c will have a better overall climb performance gear up, but not if it is sliding on its belly in the mud. Forget 'drag' from doors opening and closing etc. Yes it is 'performance degrading' but Flight Detent is correct
And as we all know from the OFT, and others with some real experiences, that the windshear effects can last for longer than the retraction cycle.
and that is why the 'cleanup' is delayed until ground contact is no longer a factor. Exactly the same for a potential terrain avoidance manoeuvre. There again, on the 737, the gear is LEFT DOWN until you are clear of ground contact. Even then, if landing flap is extended, it is that that is retracted first as part of the normal accel profile.