If you look at wikipedia's set entry, they say
An abstract data structure is a collection, or aggregate, of data. The data may be booleans, numbers, characters, or other data structures. If one considers the structure yielded by packaging[1] or indexing,[2] there are four basic data structures:[3][4]
unpackaged, unindexed: bunch
packaged, unindexed: set
unpackaged, indexed: string (sequence)
packaged, indexed: list (array)
So sets are unindexed, or not ordered in a specific manner.
The python documentation agrees with this (always check the documentation, Python has some of the best I've seen):
5.7. Set Types
A set object is an unordered collection of distinct hashable objects. Common uses include membership testing, removing duplicates from a sequence, and computing mathematical operations such as intersection, union, difference, and symmetric difference. (For other containers see the built in dict, list, and tuple classes, and the collections module.)