This is actually a very important lesson, which needs to be taught at an early stage, so that your dog does not become over-possessive. Otherwise, he may be inclined to bite in later life when you attempt to take an object away from him.

Stop the game, place your left hand across the upper jaw, and then gently prise down the lower jaw with your right hand (reverse the grip if you are left-handed), giving the command “drop”. The ball will fall out of the dog's mouth, and you can pick it up and throw it again.
Before long, your puppy should drop its ball readily when instructed, allowing the game to continue. Some dogs, particularly retrievers are more likely to behave instinctively in this fashion, having been bred over many generations to collect game and then drop it on command.