When a mean field game satisfies certain monotonicity conditions, the mean field equilibrium is unique and the corresponding value function satisfies the so called master equation. In general, however, there can be multiple equilibriums which typically lead to different values. In this paper we study the set of values over all mean field equilibriums, which we call the set value of the game. We shall establish two main properties of the set value: (i) the dynamic programming principle; (ii) the convergence of the set values of the corresponding N -player games. We emphasize that the set value is very sensitive to the choice of the admissible controls. For the dynamic programming principle, one needs to use closed loop controls (instead of open loop controls). For the convergence, one has to restrict to the same type of equilibriums for the N-player game and for the mean field game. We shall investigate three cases, two in finite state space models and the other in a diffusion model.