I don't know if he has it or not because they didn't show what they did with it when he was burying Denise. I would guess he probably threw it away, but we'll see.

 

Daryl has an unlimited supply of arrows, it doesn't matter if he recovers them or not.

 

The group took an arrow in da knees.

 

I'm assuming he kept it.

 

Waste not, want not.

 

Denise lives. They can't remove the arrow though!

 

The day Daryl's gonna run out of arrows for his crossbow, is the day when Liberty Prime runs out of nukes to hurl at the Enclave.

 

No, that's Dennis. Denise is dead.

 

Didn't they show a clip of her body with the arrow still in her eye while they were carrying Eugene's body back?

 

Yes, they did. But then we see Daryl and Carol burying a corpse so they obviously came back to get the corpse after making sure Eugene was being taken care of.
I think it was a stupid idea to go back there because Dwight and his people could've prepared an ambush in the meantime. But Daryl obviously did come back, otherwise he wouldn't have the Dennis-keychain. So he might also have the arrow. It would've been nice if he buried it with her but if he had they would've shown us. So obviously he still has it and I really hope he'll use it to take revenge on Dwight.

 

I hope he has it and returns it to Dwight, with interest.

 

I betting he has it.

But one thing about this whole episode with Denise and Dwights arc, in general, bothers me.