You can apply a lambda function to get the difference, like this:
import pandas as pd
df = pd.DataFrame([[['A', 'B', 'C', 'D'], ['B', 'C']]], columns=['ColA', 'ColB'])
df['ColC'] = df[['ColA', 'ColB']].apply(lambda x: [i for i in x[0] if i not in x[1]], axis=1)