Yes, but most of that is just semantics. For the purpose of this thread:
You do not need to exit the country to get a new visa when going from a work permit to retirement extension.
You also do not need to change your visa in Thailand.
You cancel your work permit and associated extension of stay, and apply for a retirement extension before the date you are given to leave the country.
You will not get a new visa stamp in your passport, you will get a new extension.