Try this
Option Explicit
Sub UniqueValues()
Dim ws As Worksheet
Dim uniqueRng As Range
Dim myCol As Long
myCol = 5 '<== set it as per your needs
Set ws = ThisWorkbook.Worksheets("unique") '<== set it as per your needs
Set uniqueRng = GetUniqueValues(ws, myCol)
End Sub
Function GetUniqueValues(ws As Worksheet, col As Long) As Range
Dim firstRow As Long
With ws
.Columns(col).RemoveDuplicates Columns:=Array(1), header:=xlNo
firstRow = 1
If IsEmpty(.Cells(1, col)) Then firstRow = .Cells(1, col).End(xlDown).row
Set GetUniqueValues = Range(.Cells(firstRow, col), .Cells(.Rows.Count, col).End(xlUp))
End With
End Function
it should be quite fast and without the drawback NeepNeepNeep told about