Why is Rf called Retardation Factor?
The clearest answer is that an analyte is retained by both the mobile and the stationary phase and the retention factor is a measure of the ratio between retention in the mobile phase and in the stationary phase. 
So you could think of it as a higher Rf value indicates a higher retention in the mobile phase.

(Also, in answer to some of the comments, the retardation factor is the inverse of the retention factor)