Defects are not associated directly with Features. They are associated with User Stories. The User Stories are associated with Features.
You can use the Custom List app to filter on Defects. Set up your app to Type = Defect, then include this query:
(Requirement.Feature.ObjectID != null)
This query is asking for defect who have requirement (that is user story) which have features associated with them.
The screenshots below show you how to set it up and the result showing 3 defects that are associated with Features (while other defects are not returned):