Why not just use a step parameter of range function as well to get:
l = range(0, 1000, 10)
For comparison, on my machine:
H:\>python -m timeit -s "l = range(1000)" "l1 = [x for x in l if x % 10 == 0]"
10000 loops, best of 3: 90.8 usec per loop
H:\>python -m timeit -s "l = range(1000)" "l1 = l[0::10]"
1000000 loops, best of 3: 0.861 usec per loop
H:\>python -m timeit -s "l = range(0, 1000, 10)"
100000000 loops, best of 3: 0.0172 usec per loop