VBA return object from function - Object variable or With block variable not set

Question

Trying to create a macro in Excel VBA. Get Run-time error '91': Object variable or With block variable not set

What is wrong here? Isn't that simply supposed to work?

Function comeinand() As Object
    Dim screwaround As Object
    Set screwaround = New Collection
    'Also tried:
    'Dim screwaround As New Collection
    'Set screwaround = CreateObject("System.Collections.ArrayList")
    comeinand = screwaround 
End Function