Chill Filtration is a technique to filter unwanted substances (mostly fats) out of the whisky. The whiskey get chilled to approximately 5 degree Celsius. The unwanted substances solidify and can be filtered. After that the whisky get reheated. That way the whisky does not get cloudy when water or ice is added like it is the case with non-chill filtered whisky.
However the filtered out fats are also flavor carrier thus the flavor of the whisky get changed through the chill filtration.