There's actually the opposite evidence; it's worse to be in a vehicle than walk or cycle, and there's a few studies that say that the benefits of cycling outweigh the pollution exposure.
Most smart people driving in London are going to leave their car's climate control on the "recirculate" setting whenever possible. That gives you a more-or-less closed environment, running cabin air back through the car's filters rather than sucking in dirty air from the street.
But cyclists and pedestrians have no such luxury - they're breathing in the filth whenever they're on, or near, a busy road.
By using the "recirculate" setting you avoid bringing in polluted air from outside the car in the first place, so it certainly does help. Just return to fresh air when away from busy roads and polluted areas.
And paper filters do, of course, remove dust and particulates, which are part of the problem. Just not things like NOx and volatile organics. And depending on the filter, it may not be effective against really small (eg PM2.5) particles.
But cyclists and pedestrians have no such luxury - they're breathing in the filth whenever they're on, or near, a busy road.