Я преобразовал свой запрос LInq в запрос Sql.
На самом деле, я не мог написать LINQ Query для этого:)
SELECT Vehicle.[ID]
,[Make]
,[Model]
,[Km]
,[RegistrationYear]
,[Price]
,[Currency]
,[AdsStartDate]
,[ThumbPhoto]
FROM [SearchResultView] as Vehicle
left Join VehicleFeatureSet vs on Vehicle.ID=vs.VehicleID where Vehicle.Active = 1
AND vs.FeatureSetID IN( 1,5,7,9) // 1,5,7,9 comes from array
group by Vehicle.[ID],[Make]
,[Model]
,[Km]
,[RegistrationYear]
,[Price]
,[Currency]
,[AdsStartDate]
,[ThumbPhoto]
Having Count(vs.FeatureSetID) = 4 // length of my feature array
// sb = msSql query ,StringBuilder
// Then I used DataContext.ExecuteQuery()
db.ExecuteQuery<SearchResultView>(sb.ToString());
Проблема исправлена, спасибо за помощь.