Proposal from SO: in the iteration loop for 'myset.difference(iterable)', add equivalent of "if not myset: break'.
https://stackoverflow.com/questions/39378043/why-does-pythons-set-difference-method-take-time-with-an-empty-set

In the toy example for testing that this is currently not so, myset starts empty, but it was noted by the OP that a more realistic example would be that myset becomes empty after deletions.

Postulated reasons why not to do this (as opposed to why it has not been done yet ;-):

1) averaged over all uses, the time saved not iterating would be less than the time spent testing emptyness.

2) an implicit guarantee to complete the iteration for possible side-effects.

One answer notes that myset.difference(anotherset) is special-cased and faster than the equivalent non-set iterable.

I searched the tracker for 'empty set difference' and got no hits.  If I remember, I will post any disposition of this issue back to SO.

This is reasonable, cheap, and not hard to do.   I'll whip-up a patch shortly.

New timings look nice:

     $ py -m timeit -s "r = range(10 ** 4); s = set()" "s.difference(r)"
    10000000 loops, best of 3: 0.104 usec per loop
     $ py -m timeit -s "r = set(range(10 ** 4)); s = set()" "s.difference(r)"
    10000000 loops, best of 3: 0.105 usec per loop
     $ py -m timeit -s "r = range(10 ** 4); s = set()" "s.difference_update(r)"
    10000000 loops, best of 3: 0.0659 usec per loop
     $ py -m timeit -s "r = set(range(10 ** 4)); s = set()" "s.difference_update(r)"
    10000000 loops, best of 3: 0.0684 usec per loop

New changeset fa0af1a6344d by Raymond Hettinger in branch 'default':
Issue #28071: Add early-out for differencing from an empty set.
https://hg.python.org/cpython/rev/fa0af1a6344d

The patch covers sets that start empty, but not sets that become empty during iteration.  Are you thinking about or rejecting the latter?  (And should this then be closed?)

I only want a single quick check upfront.  It doesn't make much sense to put this in the inner loop.

This optimization caused a behavior change:

Python 3.5:

>>> set().difference([[]])
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
TypeError: unhashable type: 'list'

Python 3.6:

>>> set().difference([[]])
set()

Behavior change in msg306973 is tracked with issue37219