BUG: loc with empty multiindex raises exception
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---
Hi, last line of snippet throws an exception ``ValueError: operands could not be broadcast together with shapes (0,) (2,) (0,)``

```python
import pandas as pd

arrays = [['val1', 'val1', 'val2'], ['val1', 'val1', 'val2']]
index = pd.MultiIndex.from_arrays(arrays, names=('idx1', 'idx2'))

df = pd.DataFrame([1, 2, 3], index=index, columns=['value'])

df.loc[df[df['value'] == 0].index, :] = 4

```

#### Problem description

``.loc`` raises error in case dataframe has duplicates in index. ``df[df['value'] == 0].index`` produces ``MultiIndex([], names=['idx1', 'idx2'])`` and it seems to be absolutely valid to put it into ``.loc`` method.

#### Expected Output

I expect ``.loc`` operation to make no changes to original ``df`` cause multiindex in ``.loc`` is empty.

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

<details>

INSTALLED VERSIONS
------------------
commit           : db08276bc116c438d3fdee492026f8223584c477
python           : 3.7.6.final.0
python-bits      : 64
OS               : Windows
OS-release       : 10
Version          : 10.0.17763
machine          : AMD64
processor        : Intel64 Family 6 Model 142 Stepping 9, GenuineIntel
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : None.None

pandas           : 1.1.3
numpy            : 1.19.1
pytz             : 2020.1
dateutil         : 2.8.1
pip              : 20.2.2
setuptools       : 46.0.0
Cython           : None
pytest           : 6.0.1
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : 1.3.0
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : 2.8.5 (dt dec pq3 ext lo64)
jinja2           : 2.11.1
IPython          : 7.14.0
pandas_datareader: None
bs4              : 4.9.1
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : 3.2.1
numexpr          : None
odfpy            : None
openpyxl         : 3.0.4
pandas_gbq       : None
pyarrow          : 1.0.1
pytables         : None
pyxlsb           : 1.0.6
s3fs             : None
scipy            : 1.4.1
sqlalchemy       : 1.3.17
tables           : None
tabulate         : None
xarray           : None
xlrd             : 1.2.0
xlwt             : 1.3.0
numba            : None

</details>
