keep <- c("A", "AA", "B")  # I get this dynamically in my actual use case
mydata <- data.frame(A=c(1, 1, 1),
                     AA=c(1, 1, 1),
                     B=c(1, 1, 1),
                     BB=c(1, 1, 1),
                     C=c(1, 1, 1))

pattern <- paste(keep, collapse = "|")
mydata.subset <- mydata[grep(pattern, colnames(mydata), value=TRUE)]
names(mydata.subset)
# [1] "A"  "AA" "B"  "BB"

mydata.subset <- mydata[grep(pattern, colnames(mydata), fixed=TRUE)]
names(mydata.subset)
# character(0)