There is an implicit join of the list being done when the regular expression is being compiled. This is using the $", dollar-double-quote, variable as the separator character, which defaults to a space. So, the character class that is used in the substitution contains a space, and therefor spaces are removed. Better for oneself to do the join:

use strict;
use warnings;
use re 'debug';     # shows whats-what
my $id='TEST TEST';
print "$id\n";
my @filename_filter=('*','|','<','>','?','/');
my $filename_filter_joined = join '',@filename_filter;
                                  #empty separator character
$id =~ s/[$filename_filter_joined]//g;
print "$id\n";
__END__
~~Output~~
TEST TEST
Compiling REx "[*|<>?/]"
Final program:
   1: ANYOF[*/<>?|][] (12)
  12: END (0)
stclass ANYOF[*/<>?|][] minlen 1
Matching REx "[*|<>?/]" against "TEST TEST"
Matching stclass ANYOF[*/<>?|][] against "TEST TEST" (9 chars)
Contradicts stclass... [regexec_flags]
Match failed
TEST TEST
Freeing REx: "[*|<>?/]"

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Good luck. -c