Loose filter is gonna let unfiltered air and debris into your HVAC system, which isn't ideal. Dusty vents, reduced airflow, and potentially even mold growth over time. Plus that loose filter could vibrate and make annoying noises. Honestly, I wouldn't let it slide. You might be able to rig something up with some zip ties or strong tape but that's a temporary fix at best. Your best bet is to either try to source a replacement clip (if that's even possible) or just replace the whole filter housing. It's probably not a super expensive part, and it'll save you a lot of headaches in the long run.