MathGolf, 16 13 bytes

♫♪↨Ç{▒ε*\Σ8=┌

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Explanation:

  ↨              Range from 
♫♪               1000 to 10000
   Ç{            Filter out by
     ▒ε*         The product of all digits is not 0
        Σ8=┌     The digit sum of the loop index (0 based) is not equal to 8