Not with VLOOKUP, but you can try an IF/INDEX formula:
I assume that "ZZ" is located at B2.
Then select B2:E6 and
Insert Name Define Names in workbook: Array
Next, define the name Out:
Insert Name Define Names in workbook: Out
Refers To: =IF(INDEX(Array,,1)=$B$6,INDEX(Array,,4)&",","")
In cell A6, enter this formula:
=INDEX(Out,1)&INDEX(Out,2)&INDEX(Out,3)&INDEX(Out, 4)&INDEX(Out,5)