After retrive password, redirect to index page

Use the lostpassword_redirect filter:

add_filter( 'lostpassword_redirect', 'wpse127373_lostpassword_redirect' );
function wpse127373_lostpassword_redirect() {
    return home_url();  // use the home URL for your site
}

Add this code to your active theme’s functions.php file or — if you want it to persists across theme changes — add it to a custom plugin.

References

• Trac: lostpassword_redirect filter
• Codex: home_url()