I had it happen in a 4 engine corporate Jetstar one day on a 45 minute flight from LAS to Burbank. I checked altitude and speed restrictions and continued because it only added about 20 minutes to the flight and we had a full load of Japanese business people on board.
It was a bit noisy and one of them came to the cockpit with a puzzled look. I told him the gear would not come up and if we returned it could take all day to get it fixed probably so didn't want to delay them.