Retirement is supposed to be a rarity for most monarchies, but, recently, some European monarchs have decided to retire. There are a few examples to look at, and the titles and styles are left up to the realm.
Ex-Queen Beatrix of the Netherlands decided to retire and reverted back to being a princess: Princess Beatrix. She is Her Royal Highness. The Netherlands is one of those rare monarchies where the monarch has retired, Beatrix being the third successive Dutch monarch to abdicate, following her grandmother and her mother.
https://en.wikipedia.org/wiki/Beatrix_of_the_Netherlands#Abdication
In Spain, when Juan Carlos retired, he kept his title and style of King, but it is well-known that he is the former, retired king.
https://en.wikipedia.org/wiki/Juan_Carlos_I_of_Spain#Titles,_styles,_honours_and_arms
King Albert II of Belgium retired and also kept his title and style His Majesty King Albert II. His father, Leopold, also retired and kept his title and style as King.
https://en.wikipedia.org/wiki/Albert_II_of_Belgium#Titles,_styles,_honours_and_arms
When Edward VIII of Britain was forced to abdicate, he reverted to being a prince and was made a royal duke, Duke of Windsor.
Sir or Lady are not titles or styles for an ex-monarch. Sir is the styling for a knight or baronet. Lady is the styling for the wife or some daughters of certain peers; the wife of a knight or baronet also is styled Lady.