Please tell us more about this application.
From this brief information, I think this sounds a bit complicated. If you could the "original" data stored in DB2/SAS, you could create a view or a result set that could be displayed in AMO/Excel...?
There is a Pivot-table from where the user is selecting some data. When (s)he has selected the data (s)he would like to compare one column of the selection with DB2 table to see which sells are not in the DB2 table.
The DB2 table could have more than 65 000 rows, so I can't just 'bring it over' from mainframe. So I should be able to get the selected data from the excel table and transfer it to mainframe and exclude the data that is in DB2 and show the 'leftovers' on the excel sheet.
Now I understand better your current situation, but not why. This look-up to DB2 seems like an data quality check-up? If so, I don't think this not best solved by some end-user application. I would prefer some data preparation where you could match your sales data on beforehand and present the complete result to the user (in a pivot).
You can use Copy To SAS Server (in the Active Data dropdown or menu in toolbar/ribbon) to save the selected Excel data as a SAS data set to your server, then run whatever comparison code you would like on the server.