A2 is a relative reference.
That means that if you copy Z2, and paste it in say, Z5, Z5 will contain A5.
By the way, you can also "paste down" a formula by selecting Z2, putting your mouse over the lower right corner until you see a 'handle', clicking and holding while dragging downward as far as you need. (that is how I would do it).
By the way, if you had ="X-" & A$2 and did the same thing, you would get the same value in every cell.
So, in Z2,
Enter:="X-" & A2
Now highlight, and look for the 'handle' in the lower right corner.
Drag it down 6000 rows or however far you need.