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I agree with Smartrock that if you really want to hunt, getting a good trainer is a good idea. The dog probably knows the retrieve, it's just not been handled correctly in one way or the other. As in...

Like AlexS said, try the hallway, doors closed. Do that for awhile, then move into a larger part of the house for a while, then the yard -- add a long-line so he cannot get away with it.

Also,...

If you want him to retrieve as a job (hunting, obedience, etc.) then you have to treat it less like a game and more like an exercise, much like you have taught sit or leave it. You can still have fun...