In general, I would let the database do what databases are good at. Filtering data is something databases are really good at, so it would be best left there.
That said, there are some situations where you might just want to grab all of them and do the filtering in code though. One I can think of would be if the number of rows is relatively small and you plan to cache them in your app. In that case you would just look up all the rows, cache them, and do subsequent filtering against what you have in the cache.
