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If you would like to filter with multiple values in PBI Desktop below is the dax function you can use it and drag that measure into the visual filter, page filter, or report filter depending on your requirement.
=If (selectedvalue(tablename[columnname]) in {"value1","value2"} , 1, 0)
if column is measure:
=If(measurename in {value1,value2},1,0)
@SanketPBIExpert , On of the assume you wany check three values
Switch( True(),
'Val1' in Values(dimesion[columnname]) , 1,
'Val2' in Values(dimesion[columnname]) , 1,
'Val3' in Values(dimesion[columnname]) , 1, 0)
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