In this poem, Henry Vaughan expresses his hope that, when he dies, he will not be moving forward, as such, but instead returning to the state of innocence he was in before he was born, and in his early childhood. This is the retreat to which the title refers. He sees his journey towards the grave not as a forward motion, but as a series of "backward steps," suggesting a deliberately action.
The poem explains what it is that the speaker is retreating from—he longs for a time before his tongue was able to "wound" others; for a time when he was not able readily to sin. As such, he seeks to return to a time before this. The choice of the word "retreat" rather than "return" is key, as it contains the implication that the act is deliberate and willful. The speaker remembers how things were when he was a cleaner, purer, better person, and he is thinking about the day when he will be that person once more. As such, he is not simply dreaming of a return to God, but making a conscious effort to "retreat" to a previous incarnation of himself.