Since in your situation you only want to notify the user with a short and simple message, a Toast would make for a better user experience.
Toast.makeText(getApplicationContext(), "Data saved", Toast.LENGTH_LONG).show();
Update: A Snackbar is recommended now instead of a Toast for Material Design apps.
If you have a more lengthy message that you want to give the reader time to read and understand, then you should use a DialogFragment. (The documentation currently recommends wrapping your AlertDialog in a fragment rather than calling it directly.) 
Make a class that extends DialogFragment:
public class MyDialogFragment extends DialogFragment {
    @Override
    public Dialog onCreateDialog(Bundle savedInstanceState) {
        // Use the Builder class for convenient dialog construction
        AlertDialog.Builder builder = new AlertDialog.Builder(getActivity());
        builder.setTitle("App Title");
        builder.setMessage("This is an alert with no consequence");
        builder.setPositiveButton("OK", new DialogInterface.OnClickListener() {
            public void onClick(DialogInterface dialog, int id) {
                // You don't have to do anything here if you just 
                // want it dismissed when clicked
            }
        });
        // Create the AlertDialog object and return it
        return builder.create();
    }
}
Then call it when you need it in your activity:
DialogFragment dialog = new MyDialogFragment();
dialog.show(getSupportFragmentManager(), "MyDialogFragmentTag");
See also
