Remove filter query if "All" is set

Is it possible to remove a complete “WHERE value IN ($variable)” clause if a variable value is set to “All”? The problem at hand is that I have a variable that can take on a multitude of values (the names of cities). Normally you would not set a city filter and therefore most of the time I have a query containing a huge “WHERE value IN (Paris, London, …)” clause. That is really slow.
Is there any better way to handle that case. I see a custom “All” value can be set but I don’t see how this would help in this case.

Thanks a lot.

Does anyone know if there has been any movement on this one?