ATHENA is the L2 mission selected by ESA to pursue the science theme “Hot and Energetic Universe.” One of the two focal plane instruments is the X-ray Integral Field Unit, an array of TES microcalorimeters operated at T(Formula presented.) 100 mK. To allow the X-ray photons focused by the telescope to reach the detector, windows have to be opened on the cryostat thermal shields. X-ray transparent filters need to be mounted on these open windows to attenuate the IR radiation from warm surfaces, to attenuate RF electromagnetic interferences on TES sensors and SQUID electronics, and to protect the detector from contamination. This paper reviews the ongoing activities driving the design of the X-IFU thermal filters.