Filter on a list of values

I want to filter documents from a list of values.
Say, i have an index which contains a field "customer_id".
I have a list of customer_ids to lookup from the above index and the list is around 10000 ids.
Is there any efficient way to index these ids somewhere and use them in the query ?
I am skeptical about sending such huge bunch of ids every time i want to filter them in the query.

Please let me know if you have come across such situation.
Thanks!