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Where to process data? Db or locally?

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We are working on a solution which fires many search requests torwards three different public databases placed in three different countries. For example a search fetches data from one db and passes them as parameter to another db. That parameter is a list whose each item needs to be logically connected with anOR operator. In the end you have a sql select statement with up to 1000 OR operators linked inside the where clause. 

Now my question is does 1000 or 500 or even 5000 logical AND or OR Operators inside select statement make the db slower and should I instead better request all data to the pc and do the matching on my pc.

The amount of is data is between 5000 and 10000 records, we are talking about a public db therefore the amount keeps growing.

For example such a sql statement:

select*from some_tablewhere..and..or..or..or..or..or..or..or..or..or..(1000 times)

If I fetch all data to my pc I could have a LINQ Statement that does the filtering.

What do you suggest me to do? Any experiences on this one guys?

Sorry if this is a duplicate just let me know in comments and I'll delete this question.

EDIT:

It should be considered that many users may access the databases at the same time.


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