You can use an electrolytic capacitor, but there are gotchas.
Electrolytics have to be biased in order to work properly. If a voltage is used that will only be positive, then you can put the positive terminal in that direction and the cap will be biased. If not then you put two electrolytic capacitors in series.
Electrolytics have not so great tolerances and parasitics. This means that a designed filter will vary by 5-20%, which is probably not something that is desired. They also have a higher impedance at high frequencies many times higher than ceramics or other caps, which you can think of as a resistor in series. This hurts their abilty to filter high frequencies.
They are bigger and good for filtering high power applications, a ceramic and electrolytic in parallel to get the best of both worlds.
For a low power filter application, because the capacitor is used in combination with a resistor or inductor (think RC for filter pole) use a higher resistor value and a lower valued cap (or inductor). Example: The same time constant can be achieved with a 10kΩ and 100uf as a 100kΩ and 10uF