Hard to say without a workbook, but make sure there are no actions when you go into the "Worksheet" menu, and choose the "Actions" option. Actions are the only thing that should navigate you from one dimension to another sheet, so that is the only thing that makes sense to me based on your description. Aside from checking the filters shelf, did you check this menu option?
Matt - thanks, worksheet actions are probably what is doing it. I have a worksheet filter set up on the original worksheet, which I copied to create the new sheets. I'm surprised that the worksheet action takes me to another sheet rather than doing the action on the current sheet. I'll tinker with it further.