To create an filter action, select Worksheet > Actions or Dashboard > Actions. Then click Add Action > Filter. Once the action has been taken in the view you will see the set show up on the Worksheet Filters shelf.
See the following links for information on creating actions:
- Dashboard Interactivity Using Actions (video): https://www.tableau.com/learn/tutorials/on-demand/dashboard-interactivity-using-actions
- Filter Actions (online help): http://onlinehelp.tableau.com/current/pro/desktop/en-us/help.htm#actions_filter.html
I hope this helps. If you have additional questions, can you provide a sample packaged workbook (.twbx) demonstrating the issue?