Like in D.M.'s answer, only without the reverse
. Let the types guide you:
import Control.Monad
{-
foldM :: (Monad m) => (b -> a -> m b) -> b -> [a] -> m b
filterM :: (Monad m) => (a -> m Bool) -> [a] -> m [a]
-}
filtM :: (Monad m) => (a -> m Bool) -> [a] -> m [a]
filtM p xs = foldM f id xs >>= (return . ($ []))
where
f acc x = do t <- p x
if t then return (acc.(x:)) else return acc