The product filter is displayed in collection pages.
To setup the product filter in collection pages, you have to install the Search & Discovery app first.
https://apps.shopify.com/search-and-discovery
Then click on the Install button (or Login to install button) to proceed with installing the app.
Go to menu Apps > Search & Discovery > Filter.
Besides the available filters, you can click on the Add filter button to add a new filter to the filters sidebar.