In report filters, for a "dropdown menu" custom field, you can filter for "Any value" or one of the specific values. Unfortunately, "Any value" doesn't differentiate between one of the actual values having been selected, and no value having been selected (the "Choose..." option which would appear as blank in reports).
Please could you add the ability to filter for "No value selected" and "Value selected" in addition to the "Any value" option (which is still useful).