Exactly that. ^^^
At first, I thought that an EMI filter will absorb the higher noise frequencies, and dissipate their energy as heat inside the ferrite core, but this is not entirely true. In my measurements most of the energy was, in fact, reflected back into the wires, and only a very small part of it was absorbed as heat by the ferrite core.
How much is absorbed as heat in the ferrite core and how much is reflected back into the wires depends a lot with ferrite material and with the frequency.
In my sloppy measurements, all of the "noises" were reflected back into the wires. For sure there was some energy absorbed by the ferrite, too, and turned into heat, but the absorbed part was so small that I couldn't measure its value.