The whole reason you don't raise the gear in windshear (even though it's creating a load of drag) is because first of all the gear doors have to open temporarily increasing drag.
Although that effect may be noticeable on some airframes, it’s really because in severe windshear you might get ground contact. If that happens with the gear retracted or in transit, the outcome is generally not as good as with the gear down and locked.
Considering that in a windshear encounter you’ll have TOGA power on all engines, a little bit of extra drag is probably not that relevant...