Light transport Flight Crew receives low altitude alert from DTW tower when leveling at 1100 feet on the LOC 21L approach. Flight continues to a normal landing.

Narrative

While on the LOC 21L approach into DTW; tower gave us a 'low altitude alert' warning as we were leveling at the MDA of 1100' MSL inside PUKLE (FAF). The controller never gave us a current altimeter setting after issuing the alert. The FO and I verified that all altimeters were set with the latest altimeter setting we had received (from the latest ATIS; about an hour old); and all showed us slightly above the MDA. The autopilot captured the MDA of 1100' MSL; and moments later the runway was visually acquired and we landed uneventfully. The approach was executed with the autopilot engaged; fully configured; using 1000 FPM descents and an approach speed of Vref+10; as per the non-precision approach profile found in the flight manual. After landing; we heard tower give the same alert to the aircraft on the approach behind us. Shortly after that; a new ATIS was issued with (I believe) a different altimeter setting. My best guess is that the altimeter setting we had was different enough from ATC's alerting system that it triggered an alarm to the tower controller. It would be a good idea for tower to issue the current altimeter setting when giving a low altitude warning. Without it; we wouldn't know whether or not we had inadvertently descended below the MDA; as all indications in the cockpit were that we were in fact above it.