Add pandas-dev#16147 fix to whatsnew

Author: leej3

doc/source/whatsnew/v0.21.0.txt

@@ -102,6 +102,7 @@ the target. Now, a ``ValueError`` will be raised when such an input is passed in
 - Compression defaults in HDF stores now follow pytable standards. Default is no compression and if ``complib`` is missing and ``complevel`` > 0 ``zlib`` is used (:issue:`15943`)
 - ``Index.get_indexer_non_unique()`` now returns a ndarray indexer rather than an ``Index``; this is consistent with ``Index.get_indexer()`` (:issue:`16819`)
 - Removed the ``@slow`` decorator from ``pandas.util.testing``, which caused issues for some downstream packages' test suites. Use ``@pytest.mark.slow`` instead, which achieves the same thing (:issue:`16850`)
+- func:`pandas.MultiIndex.set_levels()` now allows the setting of empty levels and, when `level` is a list-like object, each element of levels is confirmed to be list-like (:issue:`16147`)
 
 .. _whatsnew_0210.api: