This is the first time I am replacing the filter for my furnace. The old filter is 20"x20"x1" and I got a new one that's 20"x20"x4" since there's a 4" slot. However, there's a little plastic thing blocking the 4" filter from going in. I can probably unscrew and remove it but there's probably a good reason it's there.
The thin (1") slot is for a standard passive filter.
The larger slot is for an electronic air cleaner. A much more complex and expensive beast. I have them in my furnace. They haven't really worked in many years, but they are still there, and I clean them (since they do catch some of the dust) when I clean the other filters. I have metal mesh filters rather than the disposable filters, so they get a good cleaning instead of replacing.
My hunch is you had one and it stopped working and someone (e.g., previous owner) removed it. Something like this Honeywell:
When the main section that is in the air path is removed, it looks like the picture in the question.