Oh wait! You're talking about an AIR filter.
Somehow I was thinking oil filter. ???
I would think that any oil would absorb dust particles out of the air. Air filter oil is often more sticky. The stuff I use on dirt bike foam filters is bad if you get it on your hands and the stuff that makes it liquid evaporates out. It takes more than soap and water to get it off. I apply filter oil to those in a plastic bag so I don't have to touch the stuff.