If the gear is retracted, you might as well keep flying to your destination. Trying to land at the point of origin or destination would makes no difference in terms of the gear, but you would have a lighter aircraft if you land at the destination.
However, if the gear is not retracted, or if there is something suspect and retraction has not been attempted, it would make the most sense to keep it there and land at where you came from (or better equipped airports close by). It held the plane up alright just a few moments ago - if you don't touch it, it probably wouldn't be too bad if you just leave it alone and land on it, despite any indications you may receive in the coughpit.