Yep. Heat, but a tiny amount. It’ll dissipate faster than it accumulates though.
For traditional bulbs, they produce a very large spread of wavelengths from blue down to infra-red, with most of it being infra-red ie heat. (This is why LEDs are more efficient, cos they don’t spew out all that heat, just the light you want.) The blue and green light you cancel out with a filter is only a tiny part of the spectrum, so you’re taking out a tiny slice of what, 1W of total energy for a small rear light.
EDIT actually.. some of it may be re-absorbed and re-emitted as something else – either heat or another wavelength, maybe even red. So the amount of red light you get from a source viewed through a red filter might actually be more than the red part of the original light.
DOUBLE EDIT: Original nonsense I wrote about LEDs deleted 🙂