Air carrier First Officer reported receiving an alert from ATC that they were descending below MSA on approach to SLC.

Narrative

We were on the arrival into SLC on a downwind leg to Runway 34L. ATC instructed us to descend to 6500 ft. I continue to plan for the approach and landing when I noticed that we seemed to be unusually low to the ground; and still descending to our assigned altitude. I made a comment to my Captain who agreed with me; but didn't make any attempt to clarity with ATC or request a climb. A second or two later ATC told us to climb to 9000 ft. and told us that we are below MSA for that area. Once clear of terrain ATC asked us what altitude we were descending to; the Captain replied that we were descending to 6500 ft. per their instructions. After that everything continued as normal; they vectored us onto final and we proceeded to land. The Captain and I debriefed after the flight; we were both expecting a turn onto base soon after beginning the descent which never came. We both heard our instruction to descent to 6500; and I can confirm that's what was read back to ATC. I'm not sure exactly what went wrong; perhaps we heard ATC incorrectly and they didn't catch the error in the read back; maybe they simply forgot to issue us the new heading.