Are you only wanting the drop down to list specific numbers between 0 and 10,000? Or every number between 0 and 10,000?
If the latter, rather than using a drop down list (which would be very long indeed!), simply apply data validation: Data > Validation > Allow > Whole number and then set the data range as a minimum of 0 and a maximum of 10,000.
To the Cells this validation is applied, it means the user is restricted to only typing in whole numbers between 0 and 10,000.