Particles can change phase (e.g. liquid -> solid) inside a filter wall, and particles that the filter wall blocks are voided. See:

The wall there is one that blocks (not absorbs) liquids. Press the "freeze" button and watch the water level on top drop as water freezes into the wall and the ice is voided by the wall. Defrosting the ice on the bottom shows that no particles are lost without the wall.

A practical example is loss of mass in a heat exchanger or distiller that uses filter walls.

-C