BUG: MultiIndexes are disappearing using an empty dataframe, Groupby and aggregate using 'list' method
- [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.

---

This bug is happening just in the pandas' version 1.2.0. The indexes are disappearing in the following condition:
- Using MultiIndex;
- Using an empty dataframe;
- GroupBy the empty dataframe with multi indexes;
- Aggregate using the `list` method.

#### Code Sample

Here is a code example:

```python
import pandas as pd

# Create a mock dataframe
df = pd.DataFrame(data=[[1, 2, 1],[1, 2, 0]], columns=['a', 'b', 'c'])
# filter it to be an empty dataframe
df = df[df['c']<0]
# group to be multiIndexes and aggregate the groupby using the list method
df = df.groupby(['a','b']).agg(d=('c', list))
print(df.index)
```

The output of this piece of code is:

```
Index([], dtype='object')
```

and it should be:

```
MultiIndex([], names=['a', 'b'])
```

#### Problem description

This bug is happening only in the pandas' version 1.2.0, I've tried using versions 1.1.4 and 1.1.5, and the bug does not appear.

It is a very specific error that happens just when using MultiIndex, empty DataFrame, groupby, and aggregate using `list` method.
In this case, the indexes names will disappear, and the index will no longer be `MultiIndex` but `Index`.

#### Expected Output

The output should be an empty dataframe multi indexed with the indexes names preserved.

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

Follows the ``pd.show_versions()``
```
python-bits      : 64
OS               : Linux
OS-release       : 5.4.0-53-generic
Version          : #59-Ubuntu SMP Wed Oct 21 09:38:44 UTC 2020
machine          : x86_64
processor        : x86_64
byteorder        : little
LC_ALL           : None
LANG             : en_US.UTF-8
LOCALE           : pt_BR.UTF-8

pandas           : 1.2.0
numpy            : 1.18.5
pytz             : 2020.5
dateutil         : 2.8.1
pip              : 20.3.3
setuptools       : 51.0.0
Cython           : 0.29.14
pytest           : 6.2.1
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : 2.8.6 (dt dec pq3 ext lo64)
jinja2           : 2.11.2
IPython          : 7.19.0
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : 0.8.5
fastparquet      : None
gcsfs            : None
matplotlib       : 3.3.3
numexpr          : None
odfpy            : None
openpyxl         : 3.0.5
pandas_gbq       : None
pyarrow          : 2.0.0
pyxlsb           : None
s3fs             : 0.4.2
scipy            : 1.6.0
sqlalchemy       : 1.3.22
tables           : None
tabulate         : 0.8.7
xarray           : None
xlrd             : None
xlwt             : None
numba            : 0.52.0
```
