If I understand your meaning, you are trying to find events that contain the asterisk (*) character. If so, then this is not possible using the backslash since Splunk treats the asterisk as a major breaker (see Event Segmentation below). According to the Search manual, if you want to search for an asterisk you will need to run a post-filtering regex search on the data, such as:
index=_internal | regex ".*\*.*"
Event Segmentation - http://docs.splunk.com/Documentation/Splunk/6.2.1/Data/Abouteventsegmentation
Search Manual (About Seach Language Syntax) - http://docs.splunk.com/Documentation/Splunk/6.2.1/Search/Aboutsearchlanguagesyntax