Loop filling a set with logging
Removing the logging and using set comprehension :

def _mounted_drives(possible_device_letters=string.ascii_uppercase):
    return {l for l in possible_device_letters if os.path.exists(l + ':')}


If you do want the logging but you do not care about it being done once every device is found :

def _mounted_drives(possible_device_letters=string.ascii_uppercase):
    s = {l for l in possible_device_letters if os.path.exists(l + ':')}
    for l in s:
        logging.info('Found device ' + l)
    return s