I think the following Knowledge Base article may answer your question. I've just tested creating a calculated field with the calculation from the KB below and my Calculated Field did not show up under Server > Create User Filter.
Adding Calculated Field to Filter Shelf
At the bottom of the Create User Filter list is More, which maybe hiding the filed you want...
TO answer your question... From a quick look the Create User Filter list only contains dimensions.
If you need to use a measure as a filter, I would suggest duplicating it, right click the new field, convert to dimension, try the Create User Filter Again... giving it a name beginning _ or A should put it near the top of the list....
Important: Just noticed the new duplicated/ converted field wont appear in the Create User Filter list until I close Desktop and reopen????!! Maybe a bug...
Thanks, Mark! Indeed it looks like one must restart the client for the calculated fields to appear on the menu.