Remember that most filters are reflective, not absorptive.
In a critical application with reflective filters you would need to insert a circulator and a terminator between both filters.
Doing that, the RF energy reflected by the second filter will go to the next port in the circulator, where it can end being fed to a load.
Mini Circuits, for example, sells some "non reflecting" filters. I guess these filters dissipate RF energy as heat. There shouldn't be a problem to cascade several of them.