Obviously you cannot actually remove elements from an empty set, so I'm guessing that your question is intended to refer to the operator $\setminus$, as in $\emptyset\setminus\{1,2\}$. If this is so, the question pertains not only to the empty set, but to any case in which the left-hand operand contains elements that the right-hand operand doesn't contain. The operator is defined such that these elements are irrelevant, and only the elements actually contained in the left-hand operand are actually removed; so the operation is well-defined and yields $\emptyset\setminus\{1,2\}=\emptyset$.