It could depend. There's always the concern that loose material or parts from a tire or wheel truck failure could damage something else. That possibility would dictate a quick return.

But in many or most cases, the plane will be overweight for landing, and would need to burn fuel (or dump fuel on some larger planes). So you wouldn't land immediately anyway, especially with damaged landing gear and reduced braking capacity.

Also while the lost wheel was noticed and reported right away, a tire blow out might not be noticed by the crew and might not be reported by anyone on the ground immediately (eventually someone would likely notice pieces of tire on the field). If the gear is already up and everything is normal with a reported blown tire it might make sense to press on to the destination since you need to burn fuel anyway... especially if it has longer runways and better facilities.

If the gear is stuck down, then you're not going to the destiantion... way too much drag and increased fuel burn in that case. Some planes automatically disable the gear and drop it back down if it's raised with a badly damaged tire.