Glains has already answered your question. Still I'd like to add some: there are interfaces in Java library which provides contracts to the developers, making promises that they can be used in which ways. 
Just like your question, basic interface Set
A collection that contains no duplicate elements. 
And your implementor HashSet, which already clearly specifies the fact that order is not guaranteed, in which case you should NOT expect any order-related promises.
It makes no guarantees as to the iteration order of the set; in particular, it does not guarantee that the order will remain constant over time. 
And specifically, Java provides another interface SortedSet instead to ensure order you are asking for:
A Set that further provides a total ordering on its elements. The elements are ordered using their natural ordering, or by a Comparator typically provided at sorted set creation time.
So in your case, you should find an implementor that implements the interface SortedSet, like TreeSet.
Normally we care not much about the implementation details since they can be adjusted/changed without our knowing, while on the other hand the promises the library developers made in the official documentation will be kept always.