Using ( if -> then ; else )
The control structure you might be looking for is ( if -> then ; else ).
Warning: you should probably swap the order of the first two arguments:
lessthan_if([], _, []).
lessthan_if([X|Xs], Y, Zs) :-
    (   X < Y
    ->  Zs = [X|Zs1]
    ;   Zs = Zs1
    ),
    lessthan_if(Xs, Y, Zs1).
However, if you are writing real code, you should almost certainly go with one of the predicates in library(apply), for example include/3, as suggested by @CapelliC:
?- include(>(3), [1,2,3], R).
R = [1, 2].
?- include(>(4), [1,2,3], R).
R = [1, 2, 3].
?- include(<(2), [1,2,3], R).
R = [3].
See the implementation of include/3 if you want to know how this kind of problems are solved. You will notice that lessthan/3 above is nothing but a specialization of the more general include/3 in library(apply): include/3 will reorder the arguments and use the ( if -> then ; else ).
"Declarative" solution
Alternatively, a less "procedural" and more "declarative" predicate:
lessthan_decl([], _, []).
lessthan_decl([X|Xs], Y, [X|Zs]) :- X < Y,
    lessthan_decl(Xs, Y, Zs).
lessthan_decl([X|Xs], Y, Zs) :- X >= Y,
    lessthan_decl(Xs, Y, Zs).
(lessthan_if/3 and lessthan_decl/3 are nearly identical to the solutions by Nicholas Carey, except for the order of arguments.)
On the downside, lessthan_decl/3 leaves behind choice points. However, it is a good starting point for a general, readable solution. We need two code transformations:
- Replace the arithmetic comparisons 
< and >= with CLP(FD) constraints: #< and #>=; 
- Use a DCG rule to get rid of arguments in the definition.
 
You will arrive at the solution by lurker.
A different approach
The most general comparison predicate in Prolog is compare/3. A common pattern using it is to explicitly enumerate the three possible values for Order:
lessthan_compare([], _, []).
lessthan_compare([H|T], X, R) :-
    compare(Order, H, X),
    lessthan_compare_1(Order, H, T, X, R).
lessthan_compare_1(<, H, T, X, [H|R]) :-
    lessthan_compare(T, X, R).
lessthan_compare_1(=, _, T, X, R) :-
    lessthan_compare(T, X, R).
lessthan_compare_1(>, _, T, X, R) :-
    lessthan_compare(T, X, R).
(Compared to any of the other solutions, this one would work with any terms, not just integers or arithmetic expressions.)
Replacing compare/3 with zcompare/3:
:- use_module(library(clpfd)).
lessthan_clpfd([], _, []).
lessthan_clpfd([H|T], X, R) :-
    zcompare(ZOrder, H, X),
    lessthan_clpfd_1(ZOrder, H, T, X, R).
lessthan_clpfd_1(<, H, T, X, [H|R]) :-
    lessthan_clpfd(T, X, R).
lessthan_clpfd_1(=, _, T, X, R) :-
    lessthan_clpfd(T, X, R).
lessthan_clpfd_1(>, _, T, X, R) :-
    lessthan_clpfd(T, X, R).
This is definitely more code than any of the other solutions, but it does not leave behind unnecessary choice points:
?- lessthan_clpfd(3, [1,3,2], Xs).
Xs = [1, 2]. % no dangling choice points!
In the other cases, it behaves just as the DCG solution by lurker:
?- lessthan_clpfd(X, [1,3,2], Xs).
Xs = [1, 3, 2],
X in 4..sup ;
X = 3,
Xs = [1, 2] ;
X = 2,
Xs = [1] ;
X = 1,
Xs = [] .
?- lessthan_clpfd(X, [1,3,2], Xs), X = 3. %
X = 3,
Xs = [1, 2] ; % no error!
false.
?- lessthan_clpfd([1,3,2], X, R), R = [1, 2].
X = 3,
R = [1, 2] ;
false.
Unless you need such a general approach, include(>(X), List, Result) is good enough.