Hi Rohit,
There is a way to achieve this which involve creating the filter manually ,You have to create the logic yourself . Create a search entity and save the filter value in that , so whenever you will come to that page again you can load the data based on the previous selection.
For datagrid 2 you can see the old thread https://forum.mendix.com/link/questions/110360
Let me know if you need more details .
Thanks