Combine files in one
What do you want to happen when you gunzip the result? If you want the five files to reappear, then you need to use something other than the gzip (.gz) format. You would need to either use tar (.tar.gz) or zip (.zip).
If you want the result of the gunzip to be the concatenation of the gunzip of the original files, then you can simply cat (not zcat or gzcat) the files together. gunzip will then decompress them to a single file.
cat [files in whatever order you like] > combined.gzThen:
gunzip combined.gzwill produce an output that is the concatenation of the gunzip of the original files.
The suggestion to decompress them all and then recompress them as one stream is completely unnecessary.