The general principle (not aircraft specific, I'm sure there are exceptions) is that with the gear selector up or down, the gear hydraulics are pressurised in the appropriate direction, and move the gear appropriately.
Once it is up, and the (generally mechanical) uplocks are engaged, you go to off, which relieves the pressure in the gear hydraulics. Passing through off makes sense as you need to reverse the direction of actuation.
As billyt points out, if you simply selected off after leaving the ground, the gear would go nowhere - it's off, not 'up and off'.