Filters should be at the main return vent(s) or at the unit itself, I would think. It is highly possible that someone removed a clogged filter and did not replace it. (I am NOT a pro HVAC technician...just a DIYer).
I agree with Mike. I am a professional. You should either have a grill containig the filter in the house or its in the furnace, either in a rack(or two) above the fan, or a small "slot" type door in the furnace or sometimes the reurn ductwork.