Collapse by default if no filters set, expand otherwise

If I enable "Make filter options collapsible" then the behaviour you describe is what happens, so I think this is working by default.

E.g., set a filter to "Make filter options collapsible" in the filter UI of the view. Save the view.

Go to the view on the site and see that the filter is collapsed.

Expand the filter and set a value. Submit the filter form.

See that the filter is expanded with the filter value visible.

Do you expect something different? Perhaps your description of your issue needs better explanation.

Thank you chrisla for helping. At the end it was my fault. The fieldset I want to make collapsed by default and open it only if filters are set come from Views Exposed Form Fieldset → and not from BEF.