This is a classic Tim Toady. The other answers are perfectly correct. I would add a couple of variations:
// Eugene's answer
let filterEven1 x =
match x with
| _ when x % 2 = 0 -> printfn "%d is even!" x
| _ -> printfn "%d is not even" x
// equivalent to above, but with "function" match syntax
let filterEven2 = function
| x when x % 2 = 0 -> printfn "%d is even!" x
| x -> printfn "%d is not even" x
// variation on Gene's answer
let (|Even|Odd|) x =
if x % 2 = 0 then Even(x) else Odd(x)
let filterEven3 = function
| Even(x) -> printfn "%d is even!" x
| Odd(x) -> printfn "%d is not even" x
// probably how I would do it
let filterEven4 x =
match x % 2 with
| 0 -> printfn "%d is even!" x
| _ -> printfn "%d is not even" x