This is covered by the Magic Comprehensive Rules:
121.1. A counter is a marker placed on an object or player that modifies its characteristics and/or
interacts with a rule, ability, or effect.
711.7. When a double-faced permanent transforms, it doesn‘t become a new object. Any effects that
applied to that permanent will continue to apply to it after it transforms.
Example: An effect gives Village Ironsmith (the front face of a double-faced card) +2/+2
until end of turn and then Village Ironsmith transforms into Ironfang. Ironfang will continue
to get +2/+2 until end of turn.
When Garruk Relentless transforms into Garruk, the Veil-Cursed, he remains the same object, so there's no reason to believe anything happens to his loyalty counters.
The official Innistrad FAQ mentions this as well:
- Transforming a permanent doesn't affect any Auras or Equipment attached to that permanent. Similarly, any counters on the permanent will remain on that permanent after it transforms.