Regression modeling is the workhorse of statistics and there is a vast literature on estimation of the regression function. It has been realized in recent years that in regression analysis the ultimate aim may be the estimation of a level set of the regression function, ie, the set of covariate values for which the regression function exceeds a predefined level, instead of the estimation of the regression function itself. The published work on estimation of the level set has thus far focused mainly on nonparametric regression, especially on point estimation. In this article, the construction of confidence sets for the level set of linear regression is considered. In particular, level upper, lower and two‐sided confidence sets are constructed for the normal‐error linear regression. It is shown that these confidence sets can be easily constructed from the corresponding level simultaneous confidence bands. It is also pointed out that the construction method is readily applicable to other parametric regression models where the mean response depends on a linear predictor through a monotonic link function, which include generalized linear models, linear mixed models and generalized linear mixed models. Therefore, the method proposed in this article is widely applicable. Simulation studies with both linear and generalized linear models are conducted to assess the method and real examples are used to illustrate the method.