In this paper, we explore the potential stealthy attacks in the DC microgrid (DCmG) equipped with unknown input observer (UIO) based detectors, which are widely adopted for the detection and identification of cyber-attacks. We first prove that once the attacker knows the bounds of the initial state estimation error and the measurement noise, he/she can launch the nonzero-dynamics stealthy (NDS) attack in the DCmG, which can affect the detection residual while keep stealthy. Considering the complexity of the multi-layer control framework in the DCmG, we simplify the primary control loops as static unit gains and obtain the systematic dynamic model of the DCmG under the NDS attack. Then, we obtain the analytical expressions of the Point of Common Coupling (PCC) voltages, which are utilized to analyze the effects of the NDS attack on voltage balancing and current sharing, respectively. Moreover, we prove that under the NDS attack, the voltage and current convergence can still be achieved exponentially in the DCmG. Finally, extensive simulations are conducted in Simulink/PLECS to validate our theoretical results.