Yes, the autofilter pull-down can only display 1000 different values.
There are ways round it, like filtering another column first (eg if
your values are text, put =LEFT(A1,1) in a spare column and copy down -
this will give you the first letter, so you can filter on this first -
eg selecting "C" - and then when you filter on A1 you will only have
values beginning with C displayed). A similar principle can be applied
with numbers, dividing them by a constant, or taking the integer value.
You can also use a Custom filter (greater than, not equal to, less than
etc).

Hope this helps.

Pete