I had the same "After Private Key filter, 0 certs were left" message and spent too much of my life trying to figure out what the message meant.
The problem was that I had installed the certificate incorrectly in the Windows Certificate store so there was no private key associated with the code signing certificate.
What I should have done was this:
Using either Firefox or Internet Explorer, submit the request to the issuer. This generates a PRIVATE KEY which is stored silently by the browser (a dialog appears for a fraction of a second in Firefox). Note that other browsers may not work: your life is too short to find out if they do.
Submit the request, jump through the issuer's validation hoops and loops, sacrifice a goat, pray to the gods, submit a signed statement from your great grandparents, etc.
Download the certificate (.crt) and import it into the same browser. The browser now has both the private key and the certificate.
Export the certificate from the browser as a Personal Information Exchange (.p12) file. You will be asked to supply a password to protect this file.
Keep a backup copy of the .p12 file.
Run the Certificate Manager (certmgr.msc), right click on the Personal certificate store, select All Tasks/Import... and import the .p12 file into Windows. You will be asked for the password you used to protect the file. At this point, depending upon your security requirements, you can mark the key as exportable so you can restore a copy from the Windows store. You can also mark that a password is required before use if you want to break batch scripts.
Run signtool successfully, breathe a sigh of relief, and ponder how much of your life you have wasted due to bad error messages and poor or missing documentation.