Filters allow you to show a subset of data that meets your defined conditions. Preset filters exist for the most common situations. But sometimes, your situation is uncommon and you need a filter that is unique to you. Custom filters allow you to create, and save, any filter conditions that you want.
If you want to only show backlog items that are not assigned to a sprint, that are between 1 and 5 story points, that were created by Dave and have the word 'strawberry' in them, you can create a custom filter for that. And you can save it, so when you come back to the backlog list, you can quickly apply your custom filter again.