Technically, filet mignon is as kosher as any other cut of meat. The problem with filet mignon is that it is located near the sciatic nerve, which is Biblically forbidden.1 Only a very skilled person can separate the forbidden nerve from the nearby kosher meat, in a process which is called "nikkur" ("tunneling, deveining"). Thus it's hard to find kosher filet mignon, especially in the United States, where I believe most slaughterhouses sell the hind portions of the cattle to non-kosher butchers -- but it does exist.
The same is true with rump and sirloin steaks, and leg of lamb.
Rabbi Eliezer Posner