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.