The using of net.sf.jasperreports.export.xls.auto.filter property allow to add autofilter in generated xls file.
<columnHeader>
<band height="30" splitType="Stretch">
<staticText>
<reportElement x="0" y="0" width="100" height="20">
<property name="net.sf.jasperreports.export.xls.auto.filter" value="Start"/>
</reportElement>
<text><![CDATA[First column with filter]]></text>
</staticText>
<staticText>
<reportElement x="100" y="0" width="100" height="20"/>
<text><![CDATA[Second column with filter]]></text>
</staticText>
<staticText>
<reportElement x="200" y="0" width="100" height="20">
<property name="net.sf.jasperreports.export.xls.auto.filter" value="End"/>
</reportElement>
<text><![CDATA[Third (Last) column with filter]]></text>
</staticText>
<staticText>
<reportElement x="300" y="0" width="100" height="20"/>
<text><![CDATA[Fourth column without filter]]></text>
</staticText>
</band>
</columnHeader>
The property can be set in Jaspersoft Studio with help of context menu or manually by editing jrxml file.