Does this happen only when you try to filter on one particular field, or does it happen for all fields? Does it happen for all forms, or just for one form?
If it happens only for one particular field, I suspect that the field name (or possibly the value filtered by), which is obscured in the image you posted, may be peculiar in a way that causes Access to think that the constructed filter is not valid. Are you sure that it "filters fine" despite the error? Look at the form's Filter property after the filter has been applied and see if it looks correct.
Is the field name or its filter criterion really private, such that you can't post them here? It's hard to see whether my suspicion is correct without any evidence to test it.