Code like the following will unprotect the sheet, disable the Advanced Filter option, then re-protect the sheet:
You could put that code into the worksheet's code module that you want protected. (Right-click on that sheet's tab and choose View Code, then paste this code into the white window and close the VB Editor. You can then run the macro by pressing ALT+F8 and selecting 'disableAdvFilter' and clicking Run.)
The following code would re-activate the Advanced Filter menu option, and could be placed in the ThisWorkbook module. In the VB Editor (press ALT+F11 to get there), double-click on the 'ThisWorkbook' entry in the left-hand column, then paste this code:
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