Don't try to mock the set, or any other kind of collection for that matter. Mocking a collection is far more trouble than it's worth, when it's easy to make a collection, possibly with mocks inside.
You probably want to make sure that the method works correctly whether or not the returned collection is empty. If I were testing this, I would have a test methods for each of these cases.
- The returned collection is empty.
- The returned collection has many elements - three is probably enough.
- The returned collection is a singleton.
But these will each be "real" collections, not mocks.