I'd read 
as 
is empty or 
is the empty set.
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I'd read as is empty or is the empty set.
According to Wikipedia André Weil (and maybe others) introduced the symbol 
for the empty set. They were inspired by the letter Ø in the Norwegian and Danish alphabet. So, I guess you could argue that the symbol should be pronounced as it is pronounced in these alphabets.
In my experience most mathematicians just call the symbol "empty set".
Note also, that the Wikipedia article says that the symbol is not to be confused with the Greek letter 
or 
.
Although not mathematics, I thought I would add that in the APL programming language the empty vector is represented by the symbol ⍬, which is pronounced "zilde".
I would say the following should be not too controversial:
$\emptyset$ and $\varnothing$ are typographical variants of the same mathematical symbol designating the empty set
The symbol was introduced by Bourbaki, was inspired by the Norwegian character Ø, but is a distinct character from it
The intention was most probably to create a symbol related to $0$ (zero), not to O (Oh), distinguished from it by striking it through. After all the empty set has all kinds of relations with the number $0$, but none with the letter O. (By contrast big-Oh and little-o symbols derive from the word "order".)
The symbol has absolutely no relation (apart from appearance) with the lower-case Greek letter phi, with typographical variants $\phi$ and $\varphi$.
There is a webpage where you can find mention of this: http://jeff560.tripod.com/set.html
Here's an extract
The null set symbol (Ø) first appeared in N. Bourbaki Éléments de mathématique Fasc.1: Les structures fondamentales de l'analyse; Liv.1: Theorie de ensembles. (Fascicule de resultants) (1939): "certaines propriétés... ne sont vraies pour aucun élément de E... la partie qu’elles définissent est appelée la partie vide de E, et designée par la notation Ø." (p. 4.)
André Weil (1906-1998) says in his autobiography that he was responsible for the symbol:
Wisely, we had decided to publish an installment establishing the system of notation for set theory, rather than wait for the detailed treatment that was to follow: it was high time to fix these notations once and for all, and indeed the ones we proposed, which introduced a number of modifications to the notations previously in use, met with general approval. Much later, my own part in these discussions earned me the respect of my daughter Nicolette, when she learned the symbol Ø for the empty set at school and I told her that I had been personally responsible for its adoption. The symbol came from the Norwegian alphabet, with which I alone among the Bourbaki group was familiar.
The citation above is from page 114 of André Weil's The Apprenticeship of a Mathematician, Birkhaeuser Verlag, Basel-Boston-Berlin, 1992. Translated from the French by Jennifer Gage. The citation was provided by Julio González Cabillón.
You should also note that Nicolas Bourbaki is a collective pseudonym for a group of French-speaking mathematicians.
Concerning your question, I remember one of my math professor telling us that in fact, it was a claim by both André Weil and Claude Chevalley, but I can't find the citation for Chevalley.
I've found also this lecture about history of math from a Canadian University (in French), where this issue is mentioned: http://www.mat.ulaval.ca/fileadmin/Cours/MAT-2500/Bourbaki.pdf