According to this page on word.tips.net, this is not possible in Word.
There is instead a suggestion to hide the middle references and add a dash:
One solution is to select the intermediate references in the range, format them as hidden text, and then add a dash. For instance, you could select ",4,5," from the references "3,4,5,6", format the selection as hidden text, and then add a dash to provide the result of "3-6". If you have quite a few such operations to perform in your text, you can automate it slightly by using the following macro:
Selection.Font.Hidden = True
Select the portion you want to hide (such as ",4,5,") and the macro does the hiding and adds the dash.