In general if you are using strobe lights and are close enough to the subject you will not need filters. If you do not have an artificial light source then you can use filters that will help correct the color. An example of this is just using a gopro without lights you will need darker filters the deeper you go but if you are in shallow water less then 15' going without a filter is usually fine.
found this with a quick search for more details:
http://www.divephotoguide.com/underwater-photography-techniques/article/using-filters-underwater-photography/