Can attest, I use one of the 4-inch think HEPA filters on a box fan near my desk to capture dust and pollen in allergy season. Write the date on the filter, so you know when to change it (or go by accumulated dust). Works for dust, pollen, smoke, pet dander, etc.

If you want something more burly/protective, you can use a box fan, a roll of duct tape, and 4 or 5 furnace filters to make a Corsi-Rosenthal Box. These can even filter out airborne COVID particles if the right sort of filter is used.