do_somenthing_with(x) for x in my_list if is_valid(x)

[nilamo]

But that is what's happening. It's exactly the same as map/filter, if you consume all of the input at once:

>>> def do_something_with(x):
...   print(x**2)
...
>>> def is_valid(x):
...   return x % 2 == 0
...
>>> things = range(10)
>>> [do_something_with(x) for x in things if is_valid(x)]
0
4
16
36
64
[None, None, None, None, None]
>>> list(map(do_something_with, filter(is_valid, things)))
0
4
16
36
64
[None, None, None, None, None]