Homes with central heating and cooling systems have an air filter to protect the equipment and may have higher efficiency rated filter to protect the air quality in the home. The filter location on some HVAC systems can sometimes be more difficult to find. The air filter is can be located in the return air duct or blower compartment before the return air reaches the air handler.
You may have several returns in your home and each has an air filter. You also may have a single whole house filter that can be around 3 to 6 inches located in a filter cabinet, it should be next to your furnace or air handler.