I must admit, I didn't know what that was particularly getting at. But I just did a search of that site looking for other rereferences to see if they explained more what they meant. And found the equivalent page from the first edition (I think) - http://www.corej2eepatterns.com/Patterns/InterceptingFilter.htm - which goes into more detail:
Information Sharing is Inefficient Sharing information between filters can be inefficient, since by definition each filter is loosely coupled. If large amounts of information must be shared between filters, then this approach may prove to be costly.