We propose an all-silicon multi-layer interference filter composed solely of silicon with sub-wavelength structure (SWS) in order to realize high performance optical filters operating in the THz frequency region with robustness against cryogenic thermal cycling and mechanical damage. We demonstrate fabrication of a three-layer prototype using well-established common micro-electro-mechanical systems (MEMS) technologies as a first step toward developing practical filters. The measured transmittance of the three-layer filter agrees well with the theoretical transmittances calculated by a simple thin-film calculation with effective refractive indices as well as a rigorous coupled-wave analysis simulation. We experimentally show that SWS layers can work as homogeneous thin-film interference layers with effective refractive indices even if there are multiple SWS layers in a filter.