It most likely means that your filter is not doing what your believe it is doing, and all of the output of the filter is NaN, even if none of your signal data are NaN.
It is likely that your filter is unstable (check this with the freqz function). Convert it to second-order-section (‘SOS’) representation (with the tf2sos function) to create a stable filter if the transfer function is unstable. However, a poorly-designed filter will still produce NaN values even as a SOS filter. The only way to solve that is to continue varying the filter parameters (such as the passband and stopband frequencies, and passband and stopband ripple) until the filter does what you want it to.
