Это работает для меня (Excel 2003 [11.8146.8202] SP2):
Sub Macro1()
Dim pt As PivotTable
Dim col As PivotFields
Dim c As PivotField
' Name of the pivot table comes from right clicking on the pivot table,
' Table Options..., Name field.
Set pt = ActiveSheet.PivotTables("PivotTable1")
Set col = pt.PivotFields
For Each c In col
Debug.Print c.Name
Next
End Sub