How to make multi-select lookup?

I want to filter items based on the value from multi-select drop-down list like this

Lookup(Projects,Status ,[multiselect 1])

In multiselect1 my formula is =Projects.Status

Suppose my project statuses are Complete, InProgress, Closed

If I choose InProgress and Closed in [multiselect1] then the return will be blank. I know that I can use several select lists to solve this problem but it’s not really beatiful. Am I missing something?