Last tested: Jul 12, 2017
One potential reason is that you are attempting to filter on a Measure. Adding a Filter on a Measure does not add a WHERE statement but instead adds a HAVING statement. That means that the behaviour of a measure filter changes depending on the grouping.
For example, say you filter on "count = 2". Then you group by user and find that there are several users with a count of 2. Then you remove the grouping and get "no results". The reason for this is that the count is now one large number, and that number is not 2.
So what could you do? There is hope! You can Dimensionalize a Measure!