Hi Yogesh,
If I understand right, what the denoising step does is to correct sequencing errors at nucleotide level. This is why you will see very low to no loss at this step. The filtering step removes sequences based on the selected max-ee value. The max-ee is the sum of probabilities that each of your nucleotides were called incorrectly (this is based on the phred score of each of your nucleotides in a given sequences). If that sum is more than the selected max-ee, then your sequence is discarded. You can read more at this link.
I hope that helps you a bit!
Yakshi