Hai provato con:

For z = 0 To ComboBox2.ListCount - 1
If ComboBox2.Items[z] = Worksheets("Foglio3").Cells(i, 3).Text Then
ComboBox2.RemoveItem (Worksheets("Foglio3").Cells(i, 3).Text)
End If
Next z

oppure con:

For z = 0 To ComboBox2.ListCount - 1
If ComboBox2.Items[z] = Worksheets("Foglio3").Cells(i, 3).Text Then
ComboBox2.RemoveAt (z)
End If
Next z