I create simple test similar described in docs (http://www.mongodb.org/display/DOCS/Multikeys) for problem demonstration:
My comment added in output with "<<<===" construction.
-------------------
from pymongo.connection import Connection
from pprint import pprint

connection = Connection("localhost", 27017)
db = connection.test

db.create_collection("example")

1. example list is [[1,2,3,4,5],[4,5,6,7,8],[7,8,9,10,11],[10,11,12,13,14]...]
   samples = [range(i, i+5) for i in xrange(1, 10000, 3)]

for item in samples:
db.example.save(

{"test":item}

)

db.example.ensure_index("test",1)
query = {"test":{"$in":[1,100,9000]}}

print "Result:"
pprint(list(db.example.find(query)))

print "\nQuery Explain:"
explain = db.example.find(query).explain()
pprint(dict(explain.items()))
----------------------------

After run it, I receive explain output:
...<skipped>...
{u'allPlans': [{u'cursor': u'BtreeCursor test_1',
u'endKey':

{u'test': 9000}

,
u'startKey': {u'test': 1}}],
u'cursor': u'BtreeCursor test_1',
u'endKey':

{u'test': 9000}

,
u'millis': 25,
u'n': 4,
u'nscanned': 14998.0, <<<====== Why 'nscanned' so large?! With index!
u'oldPlan': {u'cursor': u'BtreeCursor test_1',
u'endKey':

{u'test': 9000}

,
u'startKey': {u'test': 1}},
u'startKey': {u'test': 1}}
-------------

When I try to get records without IN

explain = db.example.find(

{"test":9000}

).explain()
pprint(dict(explain.items()))

result look as:

{u'allPlans': [{u'cursor': u'BtreeCursor test_1',
u'endKey':

{u'test': 9000}

,
u'startKey': {u'test': 9000}}],
u'cursor': u'BtreeCursor test_1',
u'endKey':

{u'test': 9000}

,
u'millis': 0, <<<========== very fast
u'n': 1,
u'nscanned': 1.0,
u'oldPlan': {u'cursor': u'BtreeCursor test_1',
u'endKey':

{u'test': 9000}

,
u'startKey': {u'test': 9000}},
u'startKey': {u'test': 9000}}

It's a normal behavior?