To what QSilver7 said, definitely check the dipstick to be sure. I actually had the stealership do my first oil change and when I left I ran in to the same thing, I barely made it out of the lot before the check oil light was on. When I pulled it back in the Tech had the audacity to tell me he would go ahead and throw another court in it to shut the light off but that they usually only put enough in to make sure the light stays off - needless to say we had a huge discussion about, the oil change was comped as customer sat and they haven't serviced my X again.

Beyond a faulty sensor or wiring issue I can't think of anything else that would make that light come on but low oil.

Good luck with that.