In order to increase retention in reverse phase (RP) you must add water to the mobile phase.  I would suggest increments of ~5-10%.

However, there are molecules that are 'water' loving and will elute in the injection front.  In this case try HILIC.

What is your sample in? what is the column equilibrated in? ... also, I am not sure about your solvent composition at thebeginning of the run

This is what we refer to as "methiod development". You may need to try different columns, mobile phases, different pH buffers, different modes (as Bruce suggested, HILIC can sometimes help retain the sample on the column when the sample elutes in pure water by conventional RP mode).

First, measure and calculate the column void volume. Next, calculate the t zero time for your method on that column. Now you are ready to start. Run a linear gradient on your column starting with 2% ACN (98% Buffer at an appropriate pH for your sample). Gradually increase the percentage of ACN over time until it reaches 40%, hold, then stop the analysis and review the results. Next try the same gradient method, but this time use Methanol in place of ACN. Acquire the data and review the results. Was the sample retained (K prime > 1) under any of the conditions tried? If so, optimize the condition to improve the K prime such that it is equal to or greater than 2.0.

Alternatively, ion exchange chromatography or size exclusion chromatography may be better suited to your sample and goals.

BTW: When asking HPLC questions, please provide some basic details (e.g. Column type, brand, dimensions, flow rate, detection parameters, detailed % composition and run times used, inj volume, sample conc.). Also information about your sample would be helpful too (Protein, which one and what size?).

Only option to retain peak HILIC columns try below listed columns

Cyno, Amide, Silica or specified HILIC columns. 

Thanks all for your valuable responses.

Here some of the details about column.

Coulumn- Zorbax Eclipse Plus C18, 4.6* 250mm, 5 micron

System- Agilent HPLC 1200 series

Protein sample- Bacterial enzyme (Sigma-Aldrich), 10mg/ml sample concentration, sample injection volume 50 micro liter.

I am basically trying to standardize method using this standard protein. Using ACN: water mobile phase I got good peaks but problem occurred when ACN denatured protein and I need active protein in elute for further analysis.

So now I switched to 2-propanol: water mobile phase but with this mobile phase at expected time interval protein is not eluting out, instead at initial time itself its getting washed out. I changed the concentration gradient of mobile phase but similar problem occurred.

"2-propanol: water mobile", based on your earlier observations, that is the wrong approach as it would elute faster, not slower. If you did not "see" it, then that makes no sense too as it should have shot through the column (or you precipitated it out).

Change the mode of chromatography used or change the column and mobile phase. *most importantly, get some help from a chromatographer.

2-Propanol is too strong in general.  Instead use Methanol.  As I recall 60% ACN has the same elution strength as 40% Methanol  (or vice versa).  Methanol is also protic and thus will not precipitate your protein (I hope!).

As per relative polarity of solvents, methanol has higher polarity than 2-propanol, which is further higher than acetonitrile.

Thus, this overall polarity gradient of mobile phase water:methanol may elute out protein much faster than water:2-propanol or water:ACN.

Here the problem I feel is my protein is not getting attached with the column matrix, which is why irrespective of polarity change it's getting eluted out at same particular time, just like with the flow of mobile phase.

For a protein you should be using a C18 column that has a larger pore size (>100 Angstroms) like a Biodiscovery column.  Therefore, the protein has a greater chance to interact with the stationary phase.  Eclipse is FAR to small in pore size.