A lens is a device that exhibits magnification due to the refraction of light. This magnification can be positive (image gets larger) or negative (image gets smaller) depending on the design of the lens.
Many lenses are made up of a series of elements of differing refractive values, for example the Cooke Triplet, doublet and so on.
A filter is a device that selectively removes or adds to the original 'signal'. For example, a UV filter rejects most wavelengths of Ultra Violet light and stops them from reaching the film. A cross screen uses fine wire etching to 'add' diffaction spikes to a bright light source.
Although "close-up filter" is the common parlance for these things, as Ian and CK have pointed out, it is actually a lens, and indeed official sales catalogs and such will normally list these items as "close-up lenses".
To address the source of confusion CK mentioned, I prefer to describe close-up lenses, teleconverter lenses and the like as "auxiliary lenses", so it's a "close-up auxiliary lens" and a "teleconverter auxiliary lens" (though admittedly it's a bit of a mouthful )