BUG: Series.drop() with MultiIndex: inconsistent behaviour

doc/source/whatsnew/v1.0.0.rst

@@ -789,7 +789,7 @@ MultiIndex
 ^^^^^^^^^^
 
 - Constructior for :class:`MultiIndex` verifies that the given ``sortorder`` is compatible with the actual ``lexsort_depth``  if ``verify_integrity`` parameter is ``True`` (the default) (:issue:`28735`)
--
+- Series and MultiIndex `.drop` with `MultiIndex` raise exception if labels not in given in level (:issue:`8594`)
 -
 
 I/O

pandas/core/indexes/multi.py

@@ -2065,7 +2065,7 @@ def drop(self, codes, level=None, errors="raise"):
         dropped : MultiIndex
         """
         if level is not None:
-            return self._drop_from_level(codes, level)
+            return self._drop_from_level(codes, level, errors)
 
         if not isinstance(codes, (np.ndarray, Index)):
             try:
@@ -2103,13 +2103,15 @@ def drop(self, codes, level=None, errors="raise"):
 
         return self.delete(inds)
 
-    def _drop_from_level(self, codes, level):
+    def _drop_from_level(self, codes, level, errors="raise"):
         codes = com.index_labels_to_array(codes)
         i = self._get_level_number(level)
         index = self.levels[i]
         values = index.get_indexer(codes)
 
         mask = ~algos.isin(self.codes[i], values)
+        if mask.all() and errors != "ignore":
+            raise KeyError(f"labels {codes} not found in level")
 
         return self[mask]
 

pandas/tests/indexes/multi/test_drop.py

@@ -141,6 +141,39 @@ def test_drop_not_lexsorted():
         tm.assert_index_equal(lexsorted_mi.drop("a"), not_lexsorted_mi.drop("a"))
 
 
+@pytest.mark.parametrize(
+    "msg,labels,level",
+    [
+        (r"labels \[4\] not found in level", 4, "a"),
+        (r"labels \[7\] not found in level", 7, "b"),
+    ],
+)
+def test_drop_raise_exception_if_labels_not_in_level(msg, labels, level):
+    # GH 8594
+    mi = MultiIndex.from_arrays([[1, 2, 3], [4, 5, 6]], names=["a", "b"])
+    s = pd.Series([10, 20, 30], index=mi)
+    df = pd.DataFrame([10, 20, 30], index=mi)
+
+    with pytest.raises(KeyError, match=msg):
+        s.drop(labels, level=level)
+    with pytest.raises(KeyError, match=msg):
+        df.drop(labels, level=level)
+
+
+@pytest.mark.parametrize("labels,level", [(4, "a"), (7, "b")])
+def test_drop_errors_ignore(labels, level):
+    # GH 8594
+    mi = MultiIndex.from_arrays([[1, 2, 3], [4, 5, 6]], names=["a", "b"])
+    s = pd.Series([10, 20, 30], index=mi)
+    df = pd.DataFrame([10, 20, 30], index=mi)
+
+    expected_s = s.drop(labels, level=level, errors="ignore")
+    tm.assert_series_equal(s, expected_s)
+
+    expected_df = df.drop(labels, level=level, errors="ignore")
+    tm.assert_frame_equal(df, expected_df)
+
+
 def test_drop_with_non_unique_datetime_index_and_invalid_keys():
     # GH 30399