Hi Chirag,
Typically to do a search for changes that have a specific CI, most folks use the change calendar, where the filter has a search for CI, and it will pull back all scheduled changes for that CI.
I will try to see if there is another way to add a search field for CIs to the change order search filter - I have a feeling it was left out purposely for performance reasons due to the joins that have to occur (CIs are not stored in the Chg object itself and its many-to-one relationship meaning you can have multiple CIs on a change order - so the join is a bit complex and requires a bit of overhead to query).
Hope this helps a bit - I will let you know if I can think of any other ways here.
Thanks,
Jon I.