A method of manufacturing a filter for a gas generator, by which a filter having a good shape retaining property can be obtained, is provided. A method of manufacturing a filter for a gas generator in which a tubular material is formed by knitting copper-plated iron wires, molten plated copper is adhered to an intersecting portion of the iron wire to fix the intersecting portion, wherein the method comprises a molding step for producing a tubular material by knitting the copper-plated iron wires, and a heat processing step in which the above tubular material is kept at a temperature not less than a melting point of copper but less than the temperature of sintering of the iron, and is then cooled.