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Asset type is based on element templates. Request you to check if are having any templates in the database. Asset Type basically shows templates available and you can select template and add asset attribute in Collection criteria.
Lal is Correct. You need to have an element template to specify an attribute filter. If you already have created the various elements that you wanted to create a collection from. You can use PSE to convert the element to a template and assign the template to the rest of your elements.