You need to tell more about your setup. Which kind of data binding i.e. dataAdapter configuration do you have?
Since you are speaking about huge amount of data, I assume that you use the grid in virtual mode - i.e. you make the filtering on server? If this is the case, I would check if no filter is set in the query object on backend and return no data in this case. You could use the toolbar renderer of the grid to display your message, if the grid's API function to check filter information returns that no filter is set. Once the filter row is setup as you like, you can return the data from backend and remove the hint from toolbar.
If you like to get more specific help, please describe your situation better.