The filter on the schematic is rather an interference suppressor as the leads from the thermocouple to opamp input may be long and not screened. As a thermocouple usually has a slow response (1...5 Hz), you can also use a feedback capacitor in the opamp circuit to make it operate as a low-pass filter.
For thermocouples, instrumentation-type amplifiers are often used which suppress CMR and interference while offering a reasonable gain. Thermocouples have a low resistance, so they are less problematic than other temperature sensors.