Could the creation of an index break table dependencies?
When implementing filtered indexes, certain connection settings must be correct:



Otherwise


  The Database Engine generates an error and rolls back INSERT, UPDATE, DELETE, or MERGE statements that change data in the index.


So if any of the dependent code does not have the above SET options correctly configured, adding a filtered index will break them. I unfortunately have had to learn the hard way to double check this when working on old systems with questionable stored procedure code :)