I think the short answer to your question is basically "No".

Filtering enties by a property is kinda hard. In order for a query to evaluate efficiently the entities would have to be stored in some data structure design for that kind of query. But to handle a generic query, what other choice is there but to go through every possible entity? The developers I've talked to are of course interested in making common/likely queries eaiser. Maybe we will see some new tools in future versions.

For some entities there are tools to make these kinds of queries easier. GeoEntities is an example of such a function. Entities which have positions of the earth are likely to be queried by their distance or position in some way, so GeoEntities provides a tool for such queries. GeoEntities doesn't do stars though. I bring it up as an example of where there is a function that allows for a more advanced query without doing an exhaustive search.

"Star" entities, like many others have EntityClasses. These are groups of stars that might be useful in some cases:

EntityClassList["Star"]

One of the groups is the nearest 100 stars for example.

For a brute force search such you are describing I would use StarData as a function instead:

Select[#, Last[#] < Quantity[10, "LightYears"] &] &@
StarData[StarData[], {"Name", "DistanceFromEarth"}]

This doesn't seem to work just yet, but CloudEvaluate might be helpful since the servers likely have quicker read to the star data:

CloudEvaluate[
 Select[#, Last[#] < Quantity[10, "LightYears"] &] &@
  StarData[StarData[], {"Name", "DistanceFromEarth"}]
]