To keep only those elements which match a predicate, you'd normally say "***select***" ("Give me the positive integers, and I will *select* the primes"). 

Both "*filter*" and "*sieve*", as verbs, refer to the **act** (of **separating** wheat from chaff), not the result.  When these words are used to describe or characterize results, they both can and have been applied to the parts kept (the wheat), and the parts discarded (the chaff). 

If you specifically say "**filter *out***", you are describing the elements you removed (discarded); if you say "**filter *for***", you are describing the elements you retained (kept). 

Note that I personally have not encountered "*sieve*" as a verb, only as a noun, and I would not say "*sieve the primes*". If I wanted to use "*sieve*" verbally, I would say "*sift*", as in "*sift the integers for primes*" (AmE, American Northeast).