Why is my furnace filter alarmingly clean?
The thin fiberglass filters (usually blue in color) are referred to as "rock catchers" by some of my fellow construction friends. They don't do much to catch dust, but they'll stop anything large from damaging the blower. It's entirely possible that it was changed before you moved in and just hasn't had enough time to catch the little dust that it will catch.

If you really want to filter the air, you'll want to upgrade this to the pleated filters. Just remember that these do require changing on a more regular basis.

The other possibility is that you may have filters at your return vents doing a majority of the air filtering, and the filter at the blower is simply redundant.