Hi Evgeny,
You can certainly use Edit > Find, which does not filter, but it does find what you are looking for. You may also be interested in Edit > Refine > Sort Proteins By > Name (Accession, Gene, etc.)
Finally, if you really want to filter, you should switch to locating your proteins with View > Document Grid. There, you can click the "Views" menu in the upper right corner of the grid view, and choose Proteins, and then if you click the Protein column header, you can click "Filter" in the menu that appears and set a filter, or you can click in the "Find:" box on the toolbar and type the protein name you want to find. And then, you can click on the protein name in the document grid in the Protein column and it will select the corresponding protein in the Targets view.
Lots of ways to navigate and manage the information in a Skyline document. Hope these help.
--Brendan