Yes, Diablo 4 will have Set items but not right away. To  D4 items make it completely clear, Diablo 4 does not have set items at launch.

In Diablo 2 and Diablo 3, Set items are the endgame goal, and the best builds are generally based around them. Six pieces per set leaves little room for more diverse builds, after all. While it feels great to see that Green text from an item drop for the first time, maybe, just maybe, it is good that Diablo 4 won't have set items at launch.

With that in mind, the Game Director of Diablo 4, Joe Shely, in a developer livestream update, confirmed that Set items would not be in Diablo 4 at launch but also confirmed they will release in the future. Joe Shely said: As we've been building the game, we felt like we could evolve sets in a new way relative to what we've seen in Diablo 3. But, we needed some more time to Diablo IV items  get them into the game in a way that would work well with the rest of Diablo 4, so you won't see sets at launch in the game. We think sets are cool, and we want to do them right – so that's something we're looking at for our live service.