As far as I can see, the contracts of both are identical. Seems rather pointless to implement a whole new empty set for Set.of().
I would presume the standard library implementors are aware of Collections.emptySet(), so there must be a specific reason I am not seeing. Due to the very generic method names, searching in mailing lists is impossible, so I am not sure if this was discussed.
(BTW, it seems Set.of() just uses a SetN with an empty input array, so it will probably be less efficient than emptySet() as well.)