  The recent detection with Chandra of two warm-hot intergalactic medium (WHIM)
filaments toward Mrk 421 by Nicastro et al. provides a measurement of the bulk
of the "missing baryons" in the nearby universe. Since Mrk 421 is a bright
X-ray source, it is also frequently observed by the XMM-Newton Reflection
Grating Spectrometer (RGS) for calibration purposes. Using all available
archived XMM observations of this source with small pointing offsets (<15"), we
construct the highest-quality XMM grating spectrum of Mrk 421 to date with a
net exposure time (excluding periods of high background flux) of 437 ks and
\~15000 counts per resolution element at 21.6A, more than twice that of the
Chandra spectrum. Despite the long exposure time neither of the two intervening
absorption systems is seen, though the upper limits derived are consistent with
the Chandra equivalent width measurements. This appears to result from (1) the
larger number of narrow instrumental features caused by bad detector columns,
(2) the degraded resolution of XMM/RGS as compared to the Chandra/LETG, and (3)
fixed pattern noise at \lambda > 29A. The non-detection of the WHIM absorbers
by XMM is thus fully consistent with the Chandra measurement.
