Suggestion: do not sort by default after doing index.difference esp. when performing difference on columns / or print warning
#### Code Sample, a copy-pastable example if possible
```
import pandas as pd
import numpy as np
print("Pandas version: ", pd.__version__) # mine: 0.21.0
print("Numpy version: ", np.__version__) # mine: 1.13.3

# generate some data
data = np.random.randn(1,20)
target = np.array( ['Test'] * len(data) ).reshape(-1,1)

data_and_target = np.hstack((data, target))
data_and_target_cols = ["c" + str(i) for i in range(data.shape[1])] + ['target']
data_and_target_df = pd.DataFrame(data_and_target, columns=data_and_target_cols)

print(data_and_target_df[data_and_target_df.columns.difference(['target'])].columns)

# the column order I would have expected / "workaround"
print(data_and_target_df[data_and_target_df.columns.values[~data_and_target_df.columns.str.contains('target')]].columns )

```
#### Problem description
* I assumed that pandas.columns.difference has the same functionality as the longer expression given above under workaround.

* It took me a long time to discover that "Index.difference" does not only remove the column but also sorts them in a lexical order. 

* This can cause major issues e.g. when transforming the table into numpy via DataFrame.values while not tracking columns. 

* It took me a long time to figure out that the degraded performance in my system was due to this call. I now know that the sorting is a documented feature; but maybe this is not an ideal behavior.

* By reporting this I would like to put this to the discussion

#### Output of ``pd.show_versions()``

<details>
INSTALLED VERSIONS
------------------
commit: None
python: 3.5.3.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: 0.21.0
pytest: None
pip: 9.0.1
setuptools: 33.1.1.post20170320
Cython: None
numpy: 1.13.3
scipy: 0.19.0
pyarrow: None
xarray: None
IPython: 5.3.0
sphinx: None
patsy: 0.4.1
dateutil: 2.6.0
pytz: 2017.2
blosc: None
bottleneck: None
tables: 3.4.2
numexpr: 2.6.2
feather: None
matplotlib: None
openpyxl: None
xlrd: None
xlwt: None
xlsxwriter: None
lxml: None
bs4: None
html5lib: 0.999
sqlalchemy: None
pymysql: None
psycopg2: None
jinja2: 2.9.5
s3fs: None
fastparquet: None
pandas_gbq: None
pandas_datareader: None

</details>
