If my focus is on the right side of a table when I filter--the focus jumps to the left side on filtering (alt+d+f+f).
If my focus is on the left side of a table when I filter--the focus jumps to the right side on filtering.
So a literal answer to your question would be: filter from the left side. Then you won't move to the left. (But you will move to the right.)
If the answer you really wanted was to: How do I filter without jumping anywhere in either direction? Filter and stay in the place where I am and mean to be? I have the same answer as above: can't, as far as I can find.
This is one of the things on my list of "stupid annoying bugs or stupidities that have wasted my time and patience daily for years or decades due to Microsoft's monoplist's disdain for customers and quality control". Others include inserting charts at the bottom of a data table when I select data with ctrl-down arrow. Or Find and Replace In Procedure invisibly changing to Find and Replace All in VBA now and then. Outlook's inability to search contact names in any simple and sensible way. Excel tables wrapping rows almost no matter what you do when pasting in Outlook. Excel windows jumping around or in front when closing other Excel windows. Selecting cells on the sheet when trying to edit a formula in a chart prompt when I'm clearly in a place to type, not select cells. I have dozen easily.