A method of making a multilayer filter and the multilayer filter made by the method. The method includes generally two steps. The first step is to coat a layer of nanofibers on a single side or both sides of a substrate medium to obtain a composite filter medium, and the second step is to fold the composite filter medium in a serpentine fashion to form a multilayer filter. The second step may alternatively be accomplished by stacking up a number of sheets of the composite filter medium to form a multilayer filter having a structure of two layers of nanofibers being sandwiched between two layers of said substrate medium. The resulting multilayer filter produced by either method contains at least one structural unit which has two layers of nanofibers being sandwiched between two layers of the substrate medium.