Sorry, but I don't understand that question!
From a strictly mathematical point of view, each object is a set (provided, of course, you stay away from objects that are "too big" to be considered sets and would fall within the category of "proper classes"). In particular, a "list" is modeled mathematically as an "ordered set", which more precisely can be defined as a function from an ordered index set to the set of elements that form the "entries" of the list.
In Mathematica, a list is such an ordered set, so that, for example, {a, a, a, b, c} is not the same thing as the list {a, b, c} — the latter being the result of Union[{a, a, a, b, c}].
Unfortunately, Mathematica does not directly provide a built-in kind of object that models sets. Perhaps the confusion is the use in Mathematica of the curly brace notation {...} notation for a list, whereas that same notation is conventionally used in mathematics to denote a set (which need have no order associated with its elements).
Just to make things worse, many mathematicians, and many mathematics books (including, alas, many if not most calculus books) use the curly brace notation for ordered sets, particularly when they are denoting sequences.