DOC: Add changelog entry

Author: chilin0525

doc/source/whatsnew/v3.0.0.rst

@@ -691,6 +691,7 @@ Indexing
 - Bug in :meth:`DataFrame.__getitem__` returning modified columns when called with ``slice`` in Python 3.12 (:issue:`57500`)
 - Bug in :meth:`DataFrame.from_records` throwing a ``ValueError`` when passed an empty list in ``index`` (:issue:`58594`)
 - Bug in :meth:`MultiIndex.insert` when a new value inserted to a datetime-like level gets cast to ``NaT`` and fails indexing (:issue:`60388`)
+- Bug in :meth:`PeriodIndex.difference` producing incorrect results when operating between :class:`PeriodIndex` and :class:`Index` objects (:issue:`58971`)
 - Bug in printing :attr:`Index.names` and :attr:`MultiIndex.levels` would not escape single quotes (:issue:`60190`)
 
 Missing