SSAS:EXCEL 2007: Data Filter in Pivot Table

If the filters in Excel 2007 SSAS Pivot Tables could not be found,
try installing the SP2 of the SQL05.
Yes, it's problem of SQL, not Excel.

However, the feature is solely for Excel 2007 (pivot table 12). if you save the format as <2003 (.doc format), the filter feature will be loss.

It's one of BI feature as "mentioned" technet library:
What's New in SQL Server 2005 SP2
http://technet.microsoft.com/en-us/library/bb283536(SQL.90).aspx
The 2007 version of Microsoft Office requires the installation of SQL Server 2005 Analysis Services SP2 to support all its business intelligence features

The BI features in Excel 2007 is highlighted under the Excel Team Blogs
http://blogs.msdn.com/excel/archive/2007/05/06/excel-2007-and-sql-server-analysis-services-2005-service-pack-2.aspx
following filter types are enabled in PivotTables connected to Analysis Services:

• Label Filters, including the ability to filter based on member properties
• Date Filters
• Value Filters, including enhanced Top 10 Filters, evaluated in the context of the PivotTable (ex.: Top 5 customer list per year)
• Expanding/collapsing items of attribute hierarchies placed next to each other on rows or columns

Just don't know why it's not mentioned in the specification of Excel or SQL...
I found this feature accidentally when trying the Performance Point Service(PPS). The PPS has a minimum requirement of SQL service pack 2.