If you retreat see page 19 top right side of Europe1940 rulebook, the air unit stays in the zone, the attacking land and sea units retreat to a zone they came from…this means the sub returns to a sea zone it moved from. The fighter remains, and lands during non combat.
If you chose the 2 fighters as casualties, the 2 subs would finish off the transport and convoy if there is no DD to counterattack with.
If you retreat, the transport survives. It may ignore enemy subs and transports and is only blocked from Amphibious operations if it does not have a surface warship to help it attack the land in a sea zone containing enemy subs. (Alpha 2+ rules, OutOfBox it gets an attack at 2 during combat or noncombat)
General Combat Sequence (Europe 1940 page 18)
1. Place units along the battle strip
2. Submarine surprise strike or submerge (sea battles only)
3. Attacking units fire
4. Defending units fire
5. Remove defender’s casualties
6. Press attack or retreat
7. Conclude combat
This means you can submerge instead of rolling, roll the fighter and if you survive, retreat the fighter.