This paper is concerned with the fault detection (FD) problem for a class of linear discrete-time switched systems in finite-frequency domain. The fault detection filters (FDFs) with switching mechanism are utilized to generate residual to detect fault. Different from the existing FD schemes based on the arbitrary switching or average dwell time switching method, a novel scheme is presented, where the states of the FDFs are used to construct not only the residual but also the switching law. This guarantees that the overall switched system is asymptotically stable and with the fault sensitive performance and disturbance attenuation performance in the low-, middle-, and high-frequency domain, respectively. A solution of the considered problem is given via linear matrix inequalities. Finally, a numerical example is presented to show the advantage of the proposed method.