If data and df_row are Series for your solution need convert output to list and then to Series:
result = set(data).difference(set(df_row))
pd.Series(list(result)).to_csv("part1left.txt", index=False)
Or write set to file in pure python:
result = set(data).difference(set(df_row))
with open("part1left.txt", 'w') as file_handler:
    for item in result:
        file_handler.write("{}\n".format(item))
Pandas only solution with filtering by boolean indexing with Series.isin and inverting mask by ~:
s = data[~data.isin(set(df_row))].drop_duplicates()
s.to_csv("part1left.txt", index=False)
EDIT:
If need create Series from files:
import pandas as pd
temp=u"""12354564
25345754
23545454
11565654
46456456"""
#after testing replace 'pd.compat.StringIO(temp)' to 'filename1.csv'
data = pd.read_csv(pd.compat.StringIO(temp), squeeze=True, header=None, dtype=str)
print (data)
0    12354564
1    25345754
2    23545454
3    11565654
4    46456456
Name: 0, dtype: int64
temp=u"""23545454
11565654
46456456"""
#after testing replace 'pd.compat.StringIO(temp)' to 'filename2.csv'
df_row = pd.read_csv(pd.compat.StringIO(temp), squeeze=True, header=None, dtype=str)
print (df_row)
0    23545454
1    11565654
2    46456456
Name: 0, dtype: int64