The following situation happens when attempting to link multiple issues:

1. Click on the issue
2. Go to "More Actions", "Link", "Select Issue"
3. On the popup screen that appears, Select a filter
4. All the issues from this filter appear
5. Click "Select multiple issues"
6. None of the issues from the filter appear on the screen. The message "There are no issues returned by the search request Filter Name" is thrown on the screen

Also, tested on JIRA 4.0.2 this behaviour is not presented. All the issues from the filter appear on the screen, as well as the checkbox to select more than one issue.