It does seem counter intuitive as first. It did to me, because I had just bought a case of those ultra super filters.
The example I was given used those blue fiberglass filters; the openings are fairly large compared to the pleated paper. As the blue filters start to clog they begin to funnel the air & dust toward the larger openings. A bit like a venturi effect. They start to pass the dust that's already trapped in them. It was suggested to change them more frequently. I never liked the fiberglass filters, and used the least restrictive paper.
It turned out that two years ago when I replaced my furnace it came with it's own cleanable filter, it looks like a fine window screen.
Edit: Forgot about the Multistage filters.
They are better, but nobody wants to pay for them.
Unless the plans call for them, an HVAC guy would loose every bid.