I hope that your not trying to put 10,000 records into the drop down list!
There are a few things that you could do. You could cache the query (if its not going to change that much) and save having to run off to the database all the time for the information. You do this by adding the CacheWithin Attribute to the end of the CFQUERY tag, like this:
<CFquery.... cacheWithin="#CreateTimeSpan(1,0,0,0)#">
The above will cache the query for one day, CreateTimeSpan(Days,Hours, Minutes,Seconds)
What database are you using?
If you are using something like Access then think about moving to something more powerful, and capable of such data volume like SQL Server, of if thats not an option a Open Source database such as MySQL.
If you want to post your query up on here, I am sure someone might be able to offer some advice on how it might be optimised
Hope this helps!
Tony