This happened to me because, I've entered a passphrase while creating the key file,
That's why trying to connect via terminal it prompts for the passphrase, and after entering it we will be able to access the terminal,
But while using the same for filezila using "key file" as logon type it shouldn't asks for the password, it directly expects the private key, but due to the restriction by our passphrase filezila can't get that, that's why it says "could not be loaded or does not contain a private key"
So, we have to choose "Interactive" as a login type in filezila.