If you have a fuel pump in the tank, it will not like running low on fuel. In this situation, the pump can only be cooled by the fuel running through and not by surrounding fuel. Running it out removes this last cooling path, but it won't run very long in this state.

This causes additional wear on the pump, but you're probably fine. They can take some abuse. I doubt that changing the fuel filter is necessary, but it certainly can't hurt anything but your wallet.