The cyclic olefin copolymer (COC) has recently demonstrated promising properties for THz applications due to its extremely high transparency in the THz region. Here, we prove that COC can be efficiently used as substrate material for free-space THz devices through the design, fabrication, and characterization of high-pass metal mesh filters. Measurements are in good agreement with calculations, and a transmittance higher than 75% has been measured between 1.5 THz and 2.5 THz for a single-layer filter. In addition, we prove that stacked meshes can be easily embedded to improve their rejection ratio in the stop-band, while preserving a high transparency in the pass-band. The broadband behavior of these filters should extend up to their diffraction limit estimated at around 6.3 THz for the single-layer filter.