Abnormal results on multiIndex difference
#### Code Sample, a copy-pastable example if possible

```
arrays = [['a', 'b', 'c', 'd'],
         [1,2,3,4]]
tuples = list(zip(*arrays))
index = pd.MultiIndex.from_tuples(tuples, names=['first', 'second'])
index1 = index.copy()
index1.difference(index)
#This should be empty results but I got following results

Out[65]: 
MultiIndex(levels=[['a', 'b', 'c', 'd'], [1, 2, 3, 4]],
           codes=[[], []],
           names=['first', 'second'])

index1 = index[:index.size-1]
index1.difference(index)

#This results is empty as I expected
Out[67]: 
MultiIndex(levels=[[], []],
           codes=[[], []],
           names=['first', 'second'])


```
#### Problem description
MultiIndex difference returns all indexes if two indexes are same.
I guess it should be empty.

SingleIndex difference returns empty if  two indexes are same.
Refer to following example
```
idx1 = pd.Index([2, 1, 3, 4])
idx2 = idx1.copy()
idx1.difference(idx2)

Out[60]: Int64Index([], dtype='int64')
```


#### Expected Output

#### Output of ``pd.show_versions()``
NSTALLED VERSIONS
------------------
commit: None
python: 3.7.3.final.0
python-bits: 64
OS: Windows
OS-release: 10
machine: AMD64
processor: Intel64 Family 6 Model 158 Stepping 9, GenuineIntel
byteorder: little
LC_ALL: None
LANG: None
LOCALE: None.None
pandas: 0.24.2
pytest: 4.3.1
pip: 19.0.3
setuptools: 40.8.0
Cython: 0.29.6
numpy: 1.16.2
scipy: 1.2.1
pyarrow: None
xarray: None
IPython: 7.4.0
sphinx: 1.8.5
patsy: 0.5.1
dateutil: 2.8.0
pytz: 2018.9
blosc: 1.8.1
bottleneck: 1.2.1
tables: 3.5.1
numexpr: 2.6.9
feather: None
matplotlib: 3.0.3
openpyxl: 2.6.1
xlrd: 1.2.0
xlwt: 1.3.0
xlsxwriter: 1.1.5
lxml.etree: 4.3.2
bs4: 4.7.1
html5lib: 1.0.1
sqlalchemy: 1.3.1
pymysql: None
psycopg2: None
jinja2: 2.10
s3fs: None
fastparquet: None
pandas_gbq: None
pandas_datareader: None
gcsfs: None
<details>

[paste the output of ``pd.show_versions()`` here below this line]

</details>
