update whatsnew doc

Author: TiffL

doc/source/whatsnew/v3.0.0.rst

@@ -625,6 +625,7 @@ Other
 - Bug in :meth:`DataFrame.transform` that was returning the wrong order unless the index was monotonically increasing. (:issue:`57069`)
 - Bug in :meth:`DataFrame.where` where using a non-bool type array in the function would return a ``ValueError`` instead of a ``TypeError`` (:issue:`56330`)
 - Bug in :meth:`Index.sort_values` when passing a key function that turns values into tuples, e.g. ``key=natsort.natsort_key``, would raise ``TypeError`` (:issue:`56081`)
+- Bug in :meth:`Index.difference` returning too many values / incorrect values for period indexes (:issue:`58971`)
 - Bug in :meth:`Series.diff` allowing non-integer values for the ``periods`` argument. (:issue:`56607`)
 - Bug in :meth:`Series.dt` methods in :class:`ArrowDtype` that were returning incorrect values. (:issue:`57355`)
 - Bug in :meth:`Series.rank` that doesn't preserve missing values for nullable integers when ``na_option='keep'``. (:issue:`56976`)