The problem, as others have said, is that filter creates a new collection. The alternative withFilter doesn't, but that doesn't have a foldLeft. Also, using .view, .iterator or .toStream would all avoid creating the new collection in various ways, but they are all slower here than the first method you used, which I thought somewhat strange at first.
But, then... See, 1 until 1000 is a Range, whose size is actually very small, because it doesn't store each element. Also, Range's foreach is extremely optimized, and is even specialized, which is not the case of any of the other collections. Since foldLeft is implemented as a foreach, as long as you stay with a Range you get to enjoy its optimized methods.
(_: Range).foreach:
@inline final override def foreach[@specialized(Unit) U](f: Int => U) {
    if (length > 0) {
        val last = this.last
        var i = start
        while (i != last) {
            f(i)
            i += step
        }
        f(i)
    }
}
(_: Range).view.foreach
def foreach[U](f: A => U): Unit = 
    iterator.foreach(f)
(_: Range).view.iterator
override def iterator: Iterator[A] = new Elements(0, length)
protected class Elements(start: Int, end: Int) extends BufferedIterator[A] with Serializable {
  private var i = start
  def hasNext: Boolean = i < end
  def next: A = 
    if (i < end) {
      val x = self(i)
      i += 1
      x
    } else Iterator.empty.next
  def head = 
    if (i < end) self(i) else Iterator.empty.next
  /** $super
   *  '''Note:''' `drop` is overridden to enable fast searching in the middle of indexed sequences.
   */
  override def drop(n: Int): Iterator[A] =
    if (n > 0) new Elements(i + n, end) else this
  /** $super
   *  '''Note:''' `take` is overridden to be symmetric to `drop`.
   */
  override def take(n: Int): Iterator[A] =
    if (n <= 0) Iterator.empty.buffered
    else if (i + n < end) new Elements(i, i + n) 
    else this
}
(_: Range).view.iterator.foreach
def foreach[U](f: A =>  U) { while (hasNext) f(next()) }
And that, of course, doesn't even count the filter between view and foldLeft:
override def filter(p: A => Boolean): This = newFiltered(p).asInstanceOf[This]
protected def newFiltered(p: A => Boolean): Transformed[A] = new Filtered { val pred = p }
trait Filtered extends Transformed[A] {
  protected[this] val pred: A => Boolean 
  override def foreach[U](f: A => U) {
    for (x <- self)
      if (pred(x)) f(x)
  }
  override def stringPrefix = self.stringPrefix+"F"
}