I have a spreadsheet file with two sheets. I applied an Auto Filter for the first sheet, and went to the 2nd and did the same. When I got back to the first sheet I found out that the Auto Filter disappeared. I played with it some more, reaching the conclusion that the filter can be applied on only one sheet in a given time. I believe that he wanted behavior is to have Auto Filter for each sheet separately. Tested with LibreOffice 3.3.3 on Debian unstable (tag libreoffice-3.3.3.1).
This functionality should be implemented in version 3.4.x. Please, try it. I close this bug for now.
As vitriol metioned this is only implemented in 3.4, but there is a workaround. Go to Data->Define Range and create a named database range. Select this range and go to Data->Filter->Autofilter. This filter is attached to the named range and not the unnamed range and will not be overriden by a different filter.