BUG: DataFrameGroupBy.rolling on an empty DataFrame throws a ValueError
- [x] I have checked that this issue has not already been reported.

- [x] I have confirmed this bug exists on the latest version of pandas.

- [x] (optional) I have confirmed this bug exists on the master branch of pandas.

---
#### Code Sample, a copy-pastable example

```python
import pandas as pd
pd.DataFrame({"s1": []}).groupby("s1").rolling(window=1).sum()
```

#### Problem description

Since a pandas update, the groupby above started failing in the edge case of an empty DataFrame. It used to simply return an empty DataFrame before, which seems like a more robust behaviour to me.

#### Expected Output
```
>>> pd.DataFrame({"s1": []}).groupby("s1").rolling(window=1).sum()
Empty DataFrame
Columns: []
Index: []
```

#### Actual Output
```
>>> pd.DataFrame({"s1": []}).groupby("s1").rolling(window=1).sum()'
Traceback (most recent call last):
  File "<string>", line 1, in <module>
  File "site-packages/pandas/core/window/rolling.py", line 2072, in sum
    return super().sum(*args, **kwargs)
  File "site-packages/pandas/core/window/rolling.py", line 1424, in sum
    window_func, center=self.center, floor=0, name="sum", **kwargs
  File "site-packages/pandas/core/window/rolling.py", line 2194, in _apply
    **kwargs,
  File "site-packages/pandas/core/window/rolling.py", line 528, in _apply
    blocks, obj = self._create_blocks(self._selected_obj)
  File "site-packages/pandas/core/window/rolling.py", line 2230, in _create_blocks
    list(self._groupby.grouper.indices.values())
  File "<__array_function__ internals>", line 6, in concatenate
ValueError: need at least one array to concatenate
```


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

<details>

INSTALLED VERSIONS
------------------
commit           : f2ca0a2665b2d169c97de87b8e778dbed86aea07
python           : 3.7.9.final.0
python-bits      : 64
OS               : Linux
OS-release       : 5.7.17-200.fc32.x86_64
Version          : #1 SMP Fri Aug 21 15:23:46 UTC 2020
machine          : x86_64
processor        : x86_64
byteorder        : little
LC_ALL           : None
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.1.1
numpy            : 1.19.1
pytz             : 2020.1
dateutil         : 2.7.3
pip              : 19.3.1
setuptools       : 42.0.2
Cython           : None
pytest           : 5.1.1
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : 4.3.3
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : 2.10.1
IPython          : 7.3.0
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : 0.8.0
fastparquet      : None
gcsfs            : None
matplotlib       : 3.0.3
numexpr          : None
odfpy            : None
openpyxl         : 3.0.4
pandas_gbq       : None
pyarrow          : 0.12.1
pytables         : None
pyxlsb           : None
s3fs             : None
scipy            : 1.5.2
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : 1.2.0
xlwt             : None
numba            : None

</details>
