I need to apply the same filter to all the worksheets in the same workbook.
All the sheets have headers in the first row, but the header name that the filter is supp
Basically what you need to do is reference the sheet in your code as you loop through, which you are not doing - you are only referring to the active sheet by not including any references.
With Match you can use wildcards.
Sub WorksheetLoop()
Dim WS_Count As Long
Dim I As Long
WS_Count = ActiveWorkbook.Worksheets.count
Dim count As Variant, rngData As Range
For I = 1 To WS_Count
Set rngData = Worksheets(I).Range("A1").CurrentRegion
count = Application.Match("STATUS", Worksheets(I).Range("A1:AZ1"), 0)
If IsNumeric(count) Then rngData.AutoFilter Field:=count, Criteria1:="INACTIVE"
Next I
End Sub