The WHERE clause is processed before the SELECT statement, therefore any aliases assigned in SELECT statements are not available for their corresponding WHERE clauses. I have gotten around this by using a CROSS APPLY.

SELECT

TBU.businessunitidnameAS [BU Name],

LEADS.statecodenameAS [Status],

LEADS.statuscodeAS [Status Code],

LEADS.accountidnameAS [Account Name],

LEADS.parentcontactidnameAS [Parent Contact ID Name],

LEADS.descriptionAS [Description],

LEADS.createdonAS [Actual Close Date],

d.[Days]

FROM dbo.FilteredLeadAS LEADS

INNER JOIN dbo.FilteredUserSettings AS TBU ON @BusinessUnitID = TBU.businessunitid

CROSS APPLY(VALUES(DATEDIFF(day, '2015/01/01', LEADS.createdon))) AS d([Days])

WHERE @BusinessUnitID= TBU.businessunitid

AND @TheUser= LEADS.owneridname

AND LEADS.statuscode= 3

AND d.[Days] <= @ClosedWithin

I would also recommend using square brackets rather than single quotes for quoting your field aliases. It helps to distinguish between data strings and field names.

Drew