b = a[a>threshold] this should do
I tested as follows:
import numpy as np, datetime
# array of zeros and ones interleaved
lrg = np.arange(2).reshape((2,-1)).repeat(1000000,-1).flatten()
t0 = datetime.datetime.now()
flt = lrg[lrg==0]
print datetime.datetime.now() - t0
t0 = datetime.datetime.now()
flt = np.array(filter(lambda x:x==0, lrg))
print datetime.datetime.now() - t0
I got
$ python test.py
0:00:00.028000
0:00:02.461000
http://docs.scipy.org/doc/numpy/user/basics.indexing.html#boolean-or-mask-index-arrays