Two of the detainees were picked up early on Saturday while the other two were detained late on Friday, said a police official who did not wish to be named.
"Three of them are from Delhi while the fourth says he is not from here," he said. "We have not arrested them. They are in custody for questioning."
Officials said it was too early to say who was behind the two explosions, which occurred after Friday evening prayers at the crowded 17th-century Jama Masjid in the old quarter of the capital.
Life at the mosque resumed its regular routine by early Saturday as Muslims attended prayer services.
Police often suspect such attacks on religious sites are aimed at inciting violence between Hindus and Muslims. New Delhi has had to battle conflicts instigated by both Hindu extremists and Muslim radicals.
Manmohan Singh, the Indian prime minister, on Saturday visited the Jama Masjid mosque.
"The prime minister was here for about 20 minutes," Syed Tariq Bukhari, general secretary of Jama Masjid's consulative council, told AFP.
The blasts occurred just after
the late afternoon prayers
"We welcome his visit. He told us that the restraint shown at this hour by the people was commendable and that this was the only way to defeat forces trying to foment communal disharmony," Bukhari said.
Singh also visited the injured in hospital, reports said.
Police said the crude devices used in the mosque blast did not appear to be linked to the more sophisticated triple bombings in the Hindu holy city of Varanasi last month that killed 23 people or explosions on the eve of a major Hindu holiday in New Delhi last year that killed 66.
Alok Kumar, deputy police chief of the Jama Masjid area, said there was tight security at all Hindu temples in New Delhi.
He said although the bombs were not powerful enough to kill, they were intended to terrorise people.