REGR: Assigning multiple new columns with loc fails when index is a MultiIndex
- [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.

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

---

**Note**: Please read [this guide](https://matthewrocklin.com/blog/work/2018/02/28/minimal-bug-reports) detailing how to provide the necessary information for us to reproduce your bug.

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

```python
import pandas as pd

rows = [(1,2), (3,4)]
initial_cols = ["a", "b"]

df = pd.DataFrame(42, index=pd.MultiIndex.from_tuples(rows), columns=initial_cols)

new_cols = ["c", "d"]
df.loc[:, new_cols] = None
```

#### Problem description

When running the above code in pandas 1.1.5, you will get the following error:
```
  File "foo.py", line 11, in <module>
    df.loc[:, new_cols] = None
  File "/home/guido/anaconda3/envs/pandas_115_bug/lib/python3.7/site-packages/pandas/core/indexing.py", line 666, in __setitem__
    indexer = self._get_setitem_indexer(key)
  File "/home/guido/anaconda3/envs/pandas_115_bug/lib/python3.7/site-packages/pandas/core/indexing.py", line 609, in _get_setitem_indexer
    return self._convert_tuple(key, is_setter=True)
  File "/home/guido/anaconda3/envs/pandas_115_bug/lib/python3.7/site-packages/pandas/core/indexing.py", line 734, in _convert_tuple
    idx = self._convert_to_indexer(k, axis=i, is_setter=is_setter)
  File "/home/guido/anaconda3/envs/pandas_115_bug/lib/python3.7/site-packages/pandas/core/indexing.py", line 1198, in _convert_to_indexer
    return self._get_listlike_indexer(key, axis, raise_missing=True)[1]
  File "/home/guido/anaconda3/envs/pandas_115_bug/lib/python3.7/site-packages/pandas/core/indexing.py", line 1254, in _get_listlike_indexer
    self._validate_read_indexer(keyarr, indexer, axis, raise_missing=raise_missing)
  File "/home/guido/anaconda3/envs/pandas_115_bug/lib/python3.7/site-packages/pandas/core/indexing.py", line 1298, in _validate_read_indexer
    raise KeyError(f"None of [{key}] are in the [{axis_name}]")
KeyError: "None of [Index(['c', 'd'], dtype='object')] are in the [columns]"
```
Till version 1.1.4, the above code would result in the dataframe being extended with the two new columns c and d. With the release of pandas 1.1.5, the code results in the above error. It might be related to the fix for #37711

Single column assignments do still work, i.e. replacing the single assignment line with the following two separate assignment lines does work:
```python
df.loc[:, "c"] = None
df.loc[:, "d"] = None
```

The problem also only occurs whenever the index is a multiindex. If the index is not a multiindex, the error will not occur.

#### Expected Output
Expected output is that no error occurs and that the two columns c and d are added with values None for all rows.


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

<details>

INSTALLED VERSIONS
------------------
commit           : b5958ee1999e9aead1938c0bba2b674378807b3d
python           : 3.7.9.final.0
python-bits      : 64
OS               : Linux
OS-release       : 5.8.0-33-generic
Version          : #36-Ubuntu SMP Wed Dec 9 09:14:40 UTC 2020
machine          : x86_64
processor        : x86_64
byteorder        : little
LC_ALL           : en_US.UTF-8
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.1.5
numpy            : 1.19.2
pytz             : 2020.5
dateutil         : 2.8.1
pip              : 20.3.3
setuptools       : 51.1.2.post20210112
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : None
IPython          : None
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : None
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pytables         : None
pyxlsb           : None
s3fs             : None
scipy            : None
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
numba            : None


</details>
