Yes, there is a limit of 1000 unique values in a filter drop-down list.
You can use Custom, Greater Than ... to see more values above these,
but these are not individually filterable. If you use another
(temporary ?) column, you can devise ways of categorising the data to
enable yo to see more. For example, if you want to filter numeric
values, then in your helper column you could have a formula:

= INT(A1/1000)

and this would then aggregate values into thousands. A column of text
values could have the formula:

=LEFT(A1,1) applied to it, thereby aggregating under initial letter.

By filtering the helper column first, you can then filter the column
which you are really interested in.

Hope this helps,

Pete