The fundamental group of a Moebius band is just $\mathbb{Z}$ (you can see that as it is homotopy equivalent to a circle). Pick a loop that generates it. If you don't know much about the fundamental group, just pick a circle that runs through the middle of the Moebius band; notice, it should go around once, not twice like the boundary.
Now, if there was a retraction this loop should map to a loop in the boundary. Is that possible? Why not? Can the class of the loop change in a retraction?
Edit: Extra hint:
What happens if you pre-compose with the inclusion $A \rightarrow X$ ? There are two maps induced $$\mathbb{Z}\rightarrow \mathbb{Z}\rightarrow \mathbb{Z}$$ What do we know about the first, and what do we know about their composition?