diff --git a/python/cudf/cudf/core/multiindex.py b/python/cudf/cudf/core/multiindex.py
index eb953a54f6b..12da69740d8 100644
--- a/python/cudf/cudf/core/multiindex.py
+++ b/python/cudf/cudf/core/multiindex.py
@@ -1637,7 +1637,7 @@ def memory_usage(self, deep=False):
     def difference(self, other, sort=None):
         if hasattr(other, "to_pandas"):
             other = other.to_pandas()
-        return self.to_pandas().difference(other, sort)
+        return cudf.from_pandas(self.to_pandas().difference(other, sort))
 
     @_cudf_nvtx_annotate
     def append(self, other):
diff --git a/python/cudf/cudf/tests/test_multiindex.py b/python/cudf/cudf/tests/test_multiindex.py
index bc9cf20b711..eedc9b0c174 100644
--- a/python/cudf/cudf/tests/test_multiindex.py
+++ b/python/cudf/cudf/tests/test_multiindex.py
@@ -1697,6 +1697,7 @@ def test_difference():
 
     expected = midx2.to_pandas().difference(midx.to_pandas())
     actual = midx2.difference(midx)
+    assert isinstance(actual, cudf.MultiIndex)
     assert_eq(expected, actual)