The best approach to optimize the performance speed of Telerik RadComboBox when using huge amount of items is using the load-on-demand feature. The load-on-demand mechanism loads the items only when the user types or clicks in the field or the drop-arrow image. It filters the Items server-side before they are loaded in the control and the Filter feature performs filtering at client-side.
And I recommend you to retrieve data in portions - with use of ShowMoreResultsBox and VirtualScrolling options.
Take a look at the this demo which demonstrates the various Load On Demand Modes.