Ok, I found why. Entity Framework is modifying my connection string to:
"Data Source=(local);Initial Catalog=mydb;User Id=myid;Password=mypass;Asynchronous Processing=true;Application Name=EntityFrameworkMUE"
And that is causing the promotion to MSDTC!
In order to avoid this, I have set up my own "Application Name" in the connection string and it works now.
Cheers.