Sub toFindFilteredColumn()
   
Dim i As Long
Dim myMessage As String
Dim myFlag As Boolean
myFlag = False
myMessage = "Below are the filtered Column:" & Chr(10)
With ActiveSheet.AutoFilter
   On Error GoTo lineZeroFilter
   For i = 1 To .Filters.Count
      If .Filters(i).On Then
        myFlag = True
        myMessage = myMessage & "Column " & Split(Cells(1, i).Address, "$")(1) & " >>> " & Cells(1, i).Value & Chr(10)
      End If
   Next i
  On Error GoTo 0
End With

If myFlag Then
 MsgBox myMessage
 End
End If

lineZeroFilter:
 MsgBox "No Column is filtered"
End Sub