Ich habe bisher diesen Makro benutzt:

Private Sub Workbook_BeforeClose(Cancel As Boolean)
    Dim wksSheet As Worksheet
    For Each wksSheet In ThisWorkbook.Worksheets
        With wksSheet
            If .AutoFilterMode Then
                If .FilterMode Then
                    .ShowAllData
                End If
            End If
        End With
    Next wksSheet
    ThisWorkbook.Save
End Sub