It's always Traverse!

traverseFilter.scala

import cats._
import cats.implicits._
import cats.data.Const

// List version

Traverse[List].traverse(List(1,2,3,4,5,6))(a => if(a%2==0) Const.of[Any](List(a)) else Const.of[Any](List.empty[Int])
  ).getConst 
res7: List[Int] = List(2, 4, 6)

// Generic version

def filter2[A, F[_]: Traverse, G[_]: Applicative](fa: F[A])(f: A => Boolean)(implicit app: Applicative[G], m: Monoid[G[A]]): G[A] = {
    Traverse[F].traverse(fa)(a => if(f(a)) Const.of[Any](app.pure(a)) else Const.of[Any](m.empty)).getConst 
  } 

filter2[Int, List, LazyList](List(1,2,3,4,5))(a => a > 2) 

// LazyList[Int] = LazyList(3, 4, 5)