The default dropdown filter field on a datagrid can be set to Multiselect
Hi Jasleen,
Use DataGrid2 instead of DataGrid,
Add a column in datagrid2 -> Take this as dynamic content -> inside dynamic content use AutoCompleteMultiSelect widget & configure all the values (Check documentation).
https://marketplace.mendix.com/link/component/116541/Aiden/Autocomplete-&-Multiselect