A gzip file consists of a series of "members" (compressed data sets). [...] The members simply appear one after another in the file, with no additional information before, between, or after them.
Note that this is not exactly the same as building a single gzip file of the concatenated data; among other things, all of the original filenames are preserved. However, gunzip seems to handle it as equivalent to a concatenation.
Since existing tools generally ignore the filename headers for the additional members, it's not easily possible to extract individual files from the result. If you want this to be possible, build a ZIP file instead. ZIP and GZIP both use the DEFLATE algorithm for the actual compression (ZIP supports some other compression algorithms as well as an option - method 8 is the one that corresponds to GZIP's compression); the difference is in the metadata format. Since the metadata is uncompressed, it's simple enough to strip off the gzip headers and tack on ZIP file headers and a central directory record instead. Refer to the gzip format specification and the ZIP format specification.
Here is what man 1 gzip says about your requirement.
Multiple compressed files can be concatenated. In this case, gunzip will extract all members at once. For example:
gzip -c file1 > foo.gz
gzip -c file2 >> foo.gz
Then
gunzip -c foo
is equivalent to
cat file1 file2
Needless to say, file1 can be replaced by file1.gz.
You must notice this:
gunzip will extract all members at once
So to get all members individually, you will have to use something additional or write, if you wish to do so.
However, this is also addressed in man page.
If you wish to create a single archive file with multiple members so that members can later be extracted independently, use an archiver such as tar or zip. GNU tar supports the -z option to invoke gzip transparently. gzip is designed as a complement to tar, not as a replacement.