Multi-energy　systems　(MESs)　were　introduced　to　enhance　the　flexibility　and　efficiency　of　conventional　energy　distribution　systems.　In　this　new　trend,　it　is　possible　to　supply　different　energy　carriers　simultaneously　by　the　multi-energy　retailer　(MER),　under　which,　without　the　need　to　transfer　all　of　them　to　different　locations,　the　loads　are　fed　centrally,　and　the　customers　can　purchase　all　the　carriers　they　need　from　the　desired　MER.　Motivated　by　these　descriptions,　this　paper　focuses　on　the　optimal　scheduling　of　MER　in　the　integrated　energy　system,　including　natural　gas,　electricity,　cooling,　and　heating,　under　the　information　gap　decision　theory　(IGDT)　framework.　The　MER＇s　goal　is　to　maximize　profits　by　considering　the　uncertainty　of　the　day-ahead　power　market.　The　proposed　IGDT　approach　without　a　probabilistic　distribution　function　analyzes　the　risk-aversion　strategy　associated　with　electricity　price　uncertainty.　In　this　paper,　integrated　demand　response　(IDR)　for　natural　gas,　electrical,　heating,　and　cooling　loads　are　developed　simultaneously　as　a　flexible　demand-side　management　resource.　The　proposed　model　contains　multiple　technologies　owned　by　MER,　including　hybrid　energy　storage　technology,　combined　heat　and　power,　chiller,　boiler　units,　and　renewable　resources.　Numerical　results　from　different　cases　illustrate　the　effectiveness　of　IDR　installation　in　terms　of　profitability.　Besides,　the　MER　can　serve　multiple　demands　more　efficiently.　Under　the　IGDT　approach,　the　purchasing　power　cost　is　reduced　up　to　24.23%.