This is one of the reasons I hate automatic casting and prefer to work in C# where this will throw up an error.
When you have the string "1,2,3" in rtn, and try to compare it against a set of integer values, VB automatically parse the string and converts it to an integer value. Since the string contains a "," which is not a part of an integer, it stops parsing at that, and uses the value it has parsed so far: 1
So it will always only execute the first option.
But there is a wider problem here: you are assuming the Select Case will work on each sub element in your string: it won't, unless you provide a loop yourself:
Dim rtn As String = "1,2,3,4"
Dim parts As String() = rtn.Split(","C)
For Each s As String In parts
Select Case s
Lnt = 1
TextBox3.Text = " Sister"