Private Sub Worksheet_Change(ByVal Target As Range)
    For Each MyCell In Target.Cells
        If MyCell.Column =  1  And MyCell.Row >  4  And MyCell.Row <  20  Then  ' Поменяйте номер столбца и строк
          If IsError(Application.Match(MyCell.Value, Array("R1", "R2", "R3", "R4"),  0 )) _
          And MyCell.Value <> "" Then  ' внутри Array - ваш список значений
           MsgBox "В ячейке " & MyCell.Address( 0 ,  0 ) & " значение не удовлетворяет условию"
           MyCell.ClearContents
           MyCell.Interior.ColorIndex =  35 
          End If
        End If
    Next MyCell
End Sub

Private Sub Worksheet_Change(ByVal Target As Range)
    Dim myCell As Range, rng As Range
    On Error GoTo ExitSub
    Set rng = Intersect(Target, Range(Cells( 4 ,  6 ), Cells(Rows.Count,  6 )))
    On Error GoTo  0 
    Application.ScreenUpdating = False
    Application.EnableEvents = False
    For Each myCell In rng
        If IsError(Application.Match(myCell.Value, Array("R1", "R2", "R3", "R4"),  0 )) _
                And myCell.Value <> "" Then
            MsgBox "В ячейке " & myCell.Address( 0 ,  0 ) & " значение не удовлетворяет условию"
            myCell.ClearContents
        End If
    Next myCell
    Application.EnableEvents = True
    Application.ScreenUpdating = True
ExitSub:
End Sub