'unconsciousness' isn't really a good word to take literally as a negation of 'being conscious'. Taken literally, an animal is 'unconscious' when it's asleep, you've hit it on the head really hard, shot it with a tranq, and it's awake and hunting...

That said, there's still a bit of question about the relationship between memory and consciousness in humans. See the suggestive mentions of trauma & PTSD-like symptoms in http://lesswrong.com/lw/8wi/inverse_pzombies_the_other_direction_in_the_hard/

why do we assume that unconsciousness must be accompanied by memory loss?

If you weren't conscious at a time, then you didn't experience whatever happened at that time, and so you didn't have any opportunity to form a memory of it in the first place.

Do all animals have consciousness?

It would surprise me to find out that at least some mammals and birds were not conscious.

are they unable to retain memory?

We don't know if animals who can't talk have memories in the relevant sense. When people talk about animals retaining memories what they are talking about is conditioned responses. But conditioned responses can survive retrograde amnesia, and people with anterograde amnesia can form new conditioned responses.

I don't think it's a stupid question. From my perspective, I have remembered things that I didn't notice consciously at the time such as the location of my wife's car keys. I don't remember their presence grabbing my attention, but later I am able to recall the last place I saw them. Not being a neurologist, I don't see a reason why shutting down the awareness part of the brain would also shut down the sensory processing and commitment of said processing to memory.