biff44 is correct, filtering in the feedback path will just degrade the performance outside the filter's passband, and probably won't help at all in the passband. Putting a filter on the input or output of the whole system may help, though.
The only situation in which such a filter might help in the feedback path is if you are getting interference there from neighboring systems or circuits. And if that's the case then you should work on trying to eliminate the interference or improve isolation, rather than filtering the feedback.