Well, the command you gave is 90% of the answer you're looking for. To match several files, you can use shell wildcards (also called globs) like * which the shell expands to match many files. For example to convert all files ending in vcf.gz in a directory called myvcfs you can just use:

vcf-concat myvcfs/*.vcf.gz | gzip > out.vcf.gz

The -c for gzip in your original command is not strictly necessary because it's the default anyway. If you're paranoid you might want to add -s to vcf-concat which does some checks for you (assumes that your files are tabix indexed).

Andreas

vcf-concat *.vcf.gz | gzip -c > out.vcf.gz

Simple as that. The bash expansion will convert that to a list of all vcfs