Check this link under new Qatari Sponsorship law which i think came in during 2009 it is illegal and the company can be fined 10000 qr for retaining it. Though as some have said the first two to four weeks and for family residence permits and the like they will need to retain them. A lot is said about exit permits, however if you have a good position and don't take out loans you can get a multi-exit permit subject to your sponsor, but they are responsible for any debts you may accumulate.
http://www.thepeninsulaqatar.com/Display_news.asp?section=local_news&mon...