BUG: read_excel fails with multirow headers if headers are followed by two empty rows
- [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
from pathlib import Path
import pandas as pd

excel_file = Path("test_excel_file.xlsx")
table = pd.read_excel(excel_file, 'Taul1', header=[0, 1])

```

#### Problem description
Given table
| A column | B column | C column |
|-|-|-|
| **part 1**       | **part 2**      | **part 3**       |
| [empty] | [empty] | [empty] |
| [empty] | [empty] | [empty] |
| Row 1 Col A | Row 1 Col B | Row 1 Col C |
| Row 2 Col A | Row 2 Col B | Row 2 Col C |

pd.read_excel with the new openpyxl-backend fails with exception

Traceback (most recent call last):
  File "pandas_openpyxl_bug\test_pandas_openpyxl.py", line 12, in <module>
    table = pd.read_excel(excel_file, 'Taul1', header=[0, 1])
  File ".virtualenvs\pandas_openpyxl_bug-3rzOJb6e\lib\site-packages\pandas\util\_decorators.py", line 299, in wrapper
    return func(*args, **kwargs)
  File "virtualenvs\pandas_openpyxl_bug-3rzOJb6e\lib\site-packages\pandas\io\excel\_base.py", line 344, in read_excel
    data = io.parse(
  File ".virtualenvs\pandas_openpyxl_bug-3rzOJb6e\lib\site-packages\pandas\io\excel\_base.py", line 1170, in parse
    return self._reader.parse(
  File ".virtualenvs\pandas_openpyxl_bug-3rzOJb6e\lib\site-packages\pandas\io\excel\_base.py", line 566, in parse
    output[asheetname] = parser.read(nrows=nrows)
  File ".virtualenvs\pandas_openpyxl_bug-3rzOJb6e\lib\site-packages\pandas\io\parsers.py", line 1057, in read
    index, columns, col_dict = self._engine.read(nrows)
  File ".virtualenvs\pandas_openpyxl_bug-3rzOJb6e\lib\site-packages\pandas\io\parsers.py", line 2503, in read
    index, columns = self._make_index(data, alldata, columns, indexnamerow)
  File ".virtualenvs\pandas_openpyxl_bug-3rzOJb6e\lib\site-packages\pandas\io\parsers.py", line 1566, in _make_index
    index = index.set_names(indexnamerow[:coffset])  # type: ignore[union-attr]
AttributeError: 'NoneType' object has no attribute 'set_names'

#### Expected Output

A dataframe without a crash

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

<details>

[pandas_openpyxl_bug.zip](https://github.com/pandas-dev/pandas/files/6140468/pandas_openpyxl_bug.zip)

INSTALLED VERSIONS
------------------
commit           : f2c8480af2f25efdbd803218b9d87980f416563e
python           : 3.9.2.final.0
python-bits      : 64
OS               : Windows
OS-release       : 10
Version          : 10.0.19041
machine          : AMD64
processor        : AMD64 Family 23 Model 8 Stepping 2, AuthenticAMD
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : Finnish_Finland.1252

pandas           : 1.2.3
numpy            : 1.20.1
pytz             : 2021.1
dateutil         : 2.8.1
pip              : 21.0.1
setuptools       : 53.0.0
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         : 3.0.7
pandas_gbq       : None
pyarrow          : None
pyxlsb           : None
s3fs             : None
scipy            : None
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
numba            : None

</details>
