Your question is very generic and highly depends on the use case.
In general: use the search functions of the datagrid or template grid search as much as possible. This comes out of the box, with no extra effort. https://docs.mendix.com/refguide/search-bar
Or in Mendix 9, the search filter function of data rgid 2: https://docs.mendix.com/appstore/modules/data-grid-2#7-filters
If that is not enough for some reason, you may want to look into marketplace components such as https://marketplace.mendix.com/link/component/49364 But be careful, this has only community support level.
Other option i can think of: create something custom in Mendix (be very careful because of maintenance and performance), or connecting elastic search.
I hope this gave a some ideas worth investigating.
Thanks Michiel Arts, In my case I would like to create search bar that find data from multi entity sush as
project name :
customer name :
collateral type :
and return result
Project code ,Project name , Customer Name , collateral type
My suggestion is to add a search-helper entity that holds all the search variables / associations. Create an object and page to fill the variable and pass the variable into a Microflow where the filtering is done based on a retrieval.