So Filtering is a feature from the Admin Console > People > Settings > Profile Settings.
In the admin console, see the right-hand side of the field, speifically the "Funnel" looking icon. Make sure that it is enabled, and once the people index is re-calculated ... you should see the filter show up in the drop-down.
It is recommended that you only make this an option for values that have a level of discreteness to them, more so than an open text bio field, for example.
If you are trying to make an arbitrary filter that isn't keyed off the person's profile, then that is not supported.
Hope that helps.