Which columns are filtered

The code snippet below puts up separate message boxes for each filtered column in a filtered range. But instead of a separate msgbox what I really want is to capture in a string that "columns 4, 6, and 7 have filters applied". How would I get that?

For i = 1 To .Filters.Count
         If .Filters(i).On Then
            MsgBox .Range(1, i).Column
         End If
      Next i