Thin liquid film dust filters with small pores are widely used for air purification in daily life. Dust, or particulate matter (PM), is captured at the filter pores; thus, smaller pores enhance PM capture efficiency. However, smaller pores also reduce air permeability and increase pressure drop, creating a trade-off. This dilemma arises from weak adhesion between solid PMs and dry solid filter surfaces. Inspired by the human nose, which uses thin mucus on nasal hairs for filtration, we design a filter with a thin, non-volatile liquid coating at the pore surface. This liquid layer strongly adheres PMs, boosting capture efficiency without sacrificing airflow. The coated filter shows exceptional performance in high-speed filtration with no PM re-dispersion. Moreover, suppressed re-dispersion enables novel bi-directional filtration. This Particle Removing Oil-coated (PRO) filter presents a new dust filtration paradigm for fast, efficient air cleaning.