Yes, an air leak IS the most likely cause, and almost a certainty. In this case the air leak is somewhere between the new filter and the tank. The reason it's a certainty is simple- the pumps are sucking the gas out of the filter(s). The only way this can happen is if air is getting in the line somewhere. Otherwise, there's only two other possible options: The pumps aren't pumping (they are) or the tank is empty (???) and the air is getting in THAT way. Working fuel pumps with no air leaks and fuel to suck up will suck fuel just fine, and move along any air bubbles that might be in the line.
But since fuel IS moving from the filter to the engine, but NOT from the tank to the filter, an air leak (or empty gas tank) is the only possible explanation...