You can do this by using New Database Query, using excel file.
I tried it with 6 sheets Jan -> Jun and it did work for me.
I have recorded the macro of the procedure...
The key here is to change the query to "SELECT * from ...... Union All Select * from .... "
see the code below......
Sub Macro1()
With ActiveSheet.QueryTables.Add(Connection:=Array(Array( _
"ODBC;DSN=Excel Files;DBQ=D:\Yogendra\Excel\Excel_Database\consolidate\Apr.xls;DefaultDir=D:\Yogendra\Excel\Excel_Database\consolidat" _
), Array("e;DriverId=790;MaxBufferSize=2048;PageTimeout=5;")), Destination:= _
Range("A1"))
.CommandText = Array( _
"SELECT *" & Chr(13) & "" & Chr(10) & "FROM `D:\Yogendra\Excel\Excel_Database\consolidate\Jan`.`C$` `C$`" & Chr(13) & "" & Chr(10) & "union all" & Chr(13) & "" & Chr(10) & "SELECT *" & Chr(13) & "" & Chr(10) & "FROM `D:\Yogendra\Excel\Excel_Database\consolidate\Feb`.`C$` `C$`" & Chr(13) & "" & Chr(10) & "union all" & Chr(13) & "" & Chr(10) & "SELECT *" & Chr(13) & "" & Chr(10) & "FROM `D:\Yogen" _
, _
"dra\Excel\Excel_Database\consolidate\Mar`.`C$` `C$`" & Chr(13) & "" & Chr(10) & "union all" & Chr(13) & "" & Chr(10) & "SELECT *" & Chr(13) & "" & Chr(10) & "FROM `D:\Yogendra\Excel\Excel_Database\consolidate\Apr`.`C$` `C$`" & Chr(13) & "" & Chr(10) & "union all" & Chr(13) & "" & Chr(10) & "SELECT *" & Chr(13) & "" & Chr(10) & "FROM `D:\Yogendra\Excel\Excel_Database" _
, _
"\consolidate\May`.`C$` `C$`" & Chr(13) & "" & Chr(10) & "union all" & Chr(13) & "" & Chr(10) & "SELECT *" & Chr(13) & "" & Chr(10) & "FROM `D:\Yogendra\Excel\Excel_Database\consolidate\Jun`.`C$` `C$`" _
)
.Name = "Query from Excel Files"
.FieldNames = True
.RowNumbers = False
.FillAdjacentFormulas = False
.PreserveFormatting = True
.RefreshOnFileOpen = False
.BackgroundQuery = True
.RefreshStyle = xlInsertDeleteCells
.SavePassword = True
.SaveData = True
.AdjustColumnWidth = True
.RefreshPeriod = 0
.PreserveColumnInfo = True
.Refresh BackgroundQuery:=False
End With
End Sub
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As told earlier, this is the code generated automatically.... if you want you can also try recording one and then modify as you wish 
Hope this helps. Let me know if this does not work.