It depends a bit on your version. Before 5.0.13 this is not possible with mysqldump.
From the mysqldump man page (v 5.1.30)
--routines, -R
Dump stored routines (functions and procedures) from the dumped
databases. Use of this option requires the SELECT privilege for the
mysql.proc table. The output generated by using --routines contains
CREATE PROCEDURE and CREATE FUNCTION statements to re-create the
routines. However, these statements do not include attributes such
as the routine creation and modification timestamps. This means that
when the routines are reloaded, they will be created with the
timestamps equal to the reload time.
...
This option was added in MySQL 5.0.13. Before that, stored routines
are not dumped. Routine DEFINER values are not dumped until MySQL
5.0.20. This means that before 5.0.20, when routines are reloaded,
they will be created with the definer set to the reloading user. If
you require routines to be re-created with their original definer,
dump and load the contents of the mysql.proc table directly as
described earlier.