pandas.DataFrame.filter does not work with regex on a multi-index dataframe
- [x] I have checked that this issue has not already been reported.

- [x] I have confirmed this bug exists on the latest version of pandas.

#### Code Sample, a copy-pastable example

```python
df = pd.DataFrame(
      [["bar", "one", 'test'], ["bar", "one1", 'test']],
      columns=["first", "second", "third"]
)

# Single-index dataframe. Regex works as expected
df.set_index(['second']).filter( regex='e$', axis=0 )
       first third
second            
one      bar  test

# Multi-index dataframe. Regex does not work
df.set_index(['first','second']).filter( regex='e$', axis=0 )
Empty DataFrame
Columns: [third]
Index: []
```

#### Problem description
The regex expression does not work if the dataframe is multi-index.

#### Expected Output
```
             third
first second      
bar   one     test
```

#### Output of ``pd.show_versions()``

<details>
INSTALLED VERSIONS
------------------
commit           : c7f7443c1bad8262358114d5e88cd9c8a308e8aa
python           : 3.8.10.final.0
python-bits      : 64
OS               : Linux
OS-release       : 5.4.72-microsoft-standard-WSL2
Version          : #1 SMP Wed Oct 28 23:40:43 UTC 2020
machine          : x86_64
processor        : x86_64
byteorder        : little
LC_ALL           : en_US.UTF-8
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.3.1
numpy            : 1.20.3
pytz             : 2021.1
dateutil         : 2.8.1
pip              : 20.0.2
setuptools       : 44.0.0
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : 3.0.1
IPython          : 7.24.1
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : None
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pyxlsb           : None
s3fs             : None
scipy            : None
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
numba            : None
</details>
