The drop-down lists contain options only for your first-degree contacts.
Suppose you’re looking for Internet professionals. You simply expand the Industry filter by clicking the triangle next to Industry and then clicking Internet. LinkedIn can show you who in your network matches that request! If you’re looking for an option in any of these filter lists (like Austin, TX as a location) that don’t appear on the filter list, none of your first-level connections have that option defined in their profiles. (In this case, it would mean that none of your first-level connections reside in Austin.)