Vamos apenas usar valores formatados:
Sub qwerty()
Dim i As Integer
Dim s As String
i = 2
Do Until Cells(i, 1).Value = ""
If (s = "") Then
s = Format(Cells(i, 1).Value, "0000")
Else
s = s & ", " & Format(Cells(i, 1).Value, "0000")
End If
i = i + 1
Loop
Cells(1, 2).Value = s
End Sub