Select your range and apply the data|autofilter.
I bet you're seeing a maximum of 1000 unique entries under that dropdown. The
range is still filtered--excel just shows a max of 1000 entries.
Debra Dalgleish has some tips you may like:
http://www.contextures.com/xlautofilter02.html#Limits
(and you could always use a custom filter and type what you want (or contains
what you want).