As far as I know this is not configurable for the new window switcher which is part of Unity in 11.10.
Personally I fix this by disabling the shortcuts for the new integrated switcher and using a different window switcher. There are at least 4 other window/application switcher plugins in Compiz and most (or all?) of the other switchers can be configured to either show all windows or only those on the current workspace.
You can edit the Compiz configuration when you install
compizconfig-settings-manager & run "CompizConfig Settings Manager".
An additional advantage is that these alternative switchers actually work and show all application windows (including those of Java apps and some legacy apps, which for some reason aren't shown by the Unity switcher).