Air filters do a great job shielding your system from dust, however, some dust will still get inside and accumulate over time. Very often there is some space around the filter that will allow some unfiltered air to go in. Construction dust will easily go through an air filter if it’s not HEPA. Most systems have air filters by the furnace. This means that all the air in return ducts is unfiltered and will cause them to build up dust on internal walls.