Follow these steps to re-Create the problem.
1. Display the Grid. (with filters and columns A,B,C)
2. Select a filter value (List filter) to filter grid Data (suppose column B)
3. Now hide the column B.
4. U can see that filter selected value appears under columns C
Hope in this way u can recreate the problem in grid in which filter does not hide with columns hide.
Still we can’t reproduce this issue. Please check that you have attached not obfuscated version of dhtmlxgrid.js. If issue still occurs please contact firstname.lastname@example.org and provide sample where we can reproduce this issue including file which you are using to init grid.