Location filtering goes below country level: you can restrict a search to specific states or regions, and further down to individual cities.
- Set the country first. State and city options make sense in that context.
- Add the states or regions you cover.
- Add cities only if you genuinely operate city by city, for example when you sell in person or need to be in the same time zone.

City-level filtering is powerful for field sales, local services and event follow-up. It is also the fastest way to shrink a list to nothing, for two reasons. First, cities are small, so the pool shrinks sharply. Second, the location on a record is where the person or company sits, and headquarters cities absorb a lot of companies that actually operate elsewhere.
The practical approach is to work top down. Start at country level, read the count, add states, read it again, and only then consider cities. If the count falls off a cliff at one of these steps, you know exactly which filter caused it, and you can decide whether the precision is worth the volume.
For anything you plan to mail rather than visit, state level is usually enough. Reserve city targeting for cases where physical proximity is part of the offer.