Anything that accumulates on the coils in your HVAC system acts as an insulator. Insulation is great in the right place, but this kind of insulation only makes your system work harder and less efficiently. Dirty filters make your system work harder to deliver the same amount of air.
Here’s another link back to a 2006 study by ASHRAE (the American Society of Heating, Refrigerating, and Air-Conditioning Engineers) showed that, “Good maintenance and operation practices including coil cleaning can significantly improve energy efficiency and IAQ (indoor air quality) performance of the HVAC&R systems in a building, such as reported here of 10% to 15%.”
A 2016 white paper from NADCA (the National Air Duct Cleaners Association) shows even more dramatic impacts, including an average 54% improvement in air flow, measured in CFM (cubic feet per minute) in commercial buildings, from cleaning the system.