If you want to put Autofilter on all of the sheets on a workbook, you can't do it by select all of the sheets on the sheets tabs. Instead you can use this simple VBA code:
Sub Autofilterall()
Dim ws As Worksheet
Application.ScreenUpdating = False
For Each ws In ActiveWorkbook.Worksheets
ws.Activate
Range("A1").Activate
Selection.AutoFilter
Next ws
Application.ScreenUpdating = True
End Sub
