The retention of atherogenic lipoproteins in the artery wall through their interactions with the arterial extracellular matrix is a critical step in the development of atherosclerosis, as outlined in the 'response to retention' hypothesis. Lipoprotein retention by vascular proteoglycans is thought to be the principle means of lipoprotein retention, although lipoprotein binding to other components of the extracellular matrix has been reported. The interactions of lipoproteins and proteoglycans can be direct through ionic interactions between the negatively charged glycosaminoglycan chains of proteoglycans and positively charged residues of apolipoproteins B and E, or can be mediated through bridging molecules such as lipoprotein lipase. Retention of atherogenic lipoproteins within the artery wall environment leads to pathophysiologically important modifications of the lipoproteins, including oxidation. Oxidation of lipoproteins leads to increased uptake by macrophages, leading to the formation of foam cells. This article reviews the scientific evidence in support of the response to retention hypothesis, with a specific focus on the effects of diabetes to modify lipoprotein retention.