Well, 7 years later, with ES6's Set object it's quite easy (but still not as compact as python's A - B), and reportedly faster than indexOf for large arrays:

console.clear();

let a = new Set([1, 2, 3, 4]);
let b = new Set([5, 4, 3, 2]);

let a_minus_b = new Set([...a].filter(x => !b.has(x)));
let b_minus_a = new Set([...b].filter(x => !a.has(x)));
let a_intersect_b = new Set([...a].filter(x => b.has(x))); 
let a_union_b = new Set([...a, ...b]); 

console.log(...a_minus_b);     // {1}
console.log(...b_minus_a);     // {5}
console.log(...a_intersect_b); // {2,3,4}
console.log(...a_union_b);     // {1,2,3,4,5}