It may seem like the two can be used interchangeably in Tableau Desktop but they are best suited for different needs.
First let's define the two -
Filters: Filtering limits data visible on the screen based on chosen criteria
Sets: This creates a custom subset based on specific conditions/ criteria that you can apply to other worksheets and involve in calculations.
Although you may get to your desired outcome using filters, by using sets you'll be able to apply the same limitations in other worksheets.
Using a combined set instead of multiple sets in the 'Filters' card is also preferred as it is a dynamic method of combining 2 separate limitations.